Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
976316 | Physica A: Statistical Mechanics and its Applications | 2009 | 7 Pages |
Abstract
We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique indicates reasonable agreement with the data under consideration, including all possible extremes and asymmetries of the returns. Numerical results to illustrate the efficiency of the method are presented.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
S. Stavroyiannis, I. Makris, V. Nikolaidis,