Evidence for criticality in financial data

G. Ruiz () and A. F. de Marcos
Additional contact information
G. Ruiz: Departamento de Matemática Aplicada a la Ingeniería Técnica Aeronáutica, Universidad Politécnica de Madrid
A. F. de Marcos: Escuela Técnica Superior de Ingeniería Aeronáutical y del Espacio, Universidad Politécnica de Madrid

The European Physical Journal B: Condensed Matter and Complex Systems, 2018, vol. 91, issue 1, 1-5

Abstract: 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 Δt. 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 q-Gaussians are characterized by two parameters, namely (q, β), that are uniquely defined by Δt. 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.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1140/epjb/e2017-80535-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:91:y:2018:i:1:d:10.1140_epjb_e2017-80535-3

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2017-80535-3

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().