Evidence for criticality in financial data

Ruiz Lopez, Guiomar and Marcos, A. F. de (2018). Evidence for criticality in financial data. "The European Physical Journal B", v. 91 (n. 1); ISSN 1434-6028. https://doi.org/10.1140/epjb/e2017-80535-3.

Description

Title: Evidence for criticality in financial data
Author/s:
  • Ruiz Lopez, Guiomar
  • Marcos, A. F. de
Item Type: Article
Título de Revista/Publicación: The European Physical Journal B
Date: January 2018
ISSN: 1434-6028
Volume: 91
Subjects:
Freetext Keywords: Statistical and nonlinear physics
Faculty: E.T.S. de Ingeniería Aeronáutica y del Espacio (UPM)
Department: Matemática Aplicada a la Ingeniería Aeroespacial
Creative Commons Licenses: Recognition - No derivative works - Non commercial

Full text

[img]
Preview
PDF - Requires a PDF viewer, such as GSview, Xpdf or Adobe Acrobat Reader
Download (554kB) | Preview

Abstract

We provide evidence that cumulative distributions of absolute normalized returns for the 100 American companies with the highest market capitalization, uncover a critical behavior for different time scales ∆t. Such cumulative distributions, in accordance with a variety of complex – and financial – systems, can be modeled by the cumulative distribution functions of q-Gaussians, the distribution function that, in the context of nonextensive statistical mechanics, maximizes a non-Boltzmannian entropy. These qGaussians are characterized by two parameters, namely (q, β), that are uniquely defined by ∆t. From these dependencies, we find a monotonic relationship between q and β, which can be seen as evidence of criticality. We numerically determine the various exponents which characterize this criticality.

More information

Item ID: 57735
DC Identifier: http://oa.upm.es/57735/
OAI Identifier: oai:oa.upm.es:57735
DOI: 10.1140/epjb/e2017-80535-3
Official URL: https://epjb.epj.org/articles/epjb/abs/2018/01/b170535/b170535.html
Deposited by: Memoria Investigacion
Deposited on: 08 Feb 2021 15:49
Last Modified: 08 Feb 2021 15:49
  • Logo InvestigaM (UPM)
  • Logo GEOUP4
  • Logo Open Access
  • Open Access
  • Logo Sherpa/Romeo
    Check whether the anglo-saxon journal in which you have published an article allows you to also publish it under open access.
  • Logo Dulcinea
    Check whether the spanish journal in which you have published an article allows you to also publish it under open access.
  • Logo de Recolecta
  • Logo del Observatorio I+D+i UPM
  • Logo de OpenCourseWare UPM