Transitions between superstatistical regimes: validity, breakdown and applications

Petr Jizba, Jan Korbel, Hynek Lavi\v{c}ka, Martin Prok\v{s}, V\'aclav Svoboda and Christian Beck

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Abstract: Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in terms of a single nuisance parameter is often too restrictive when applied to complex empirical data. Here we show that a multi-scale generalization of the superstatistics paradigm is more versatile, allowing to address such pertinent issues as transmutation of statistics or inter-scale stochastic behavior. To put some flesh on the bare bones, we provide a numerical evidence for a transition between two superstatistics regimes, by analyzing high-frequency (minute-tick) data for share-price returns of seven selected companies. Salient issues, such as breakdown of superstatistics in fractional diffusion processes or connection with Brownian subordination are also briefly discussed.

Date: 2017-07, Revised 2017-07
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Published in Physica A 493 (2018), 29-46

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.04838

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