Tsallis statistics and gradually truncated Lévy flight—distribution of an economical index

Hari M. Gupta and José R. Campanha

Physica A: Statistical Mechanics and its Applications, 2002, vol. 309, issue 3, 381-387

Abstract: Tsallis postulated a generalized form for entropy and give rise to a new statistics now known as Tsallis statistics. In the present work, we compare the Tsallis statistics with the gradually truncated Lévy flight, and discuss the distribution of an economical index—the Standard and Poor's 500—using the values of standard deviation as calculated by our model. We find that both statistics give almost the same distribution. Thus we feel that gradual truncation of Lévy distribution, after certain critical step size for describing complex systems, is a requirement of generalized thermodynamics or similar. The gradually truncated Lévy flight is based on physical considerations and bring a better physical picture of the dynamics of the whole system. Tsallis statistics gives a theoretical support. Both statistics together can be utilized for the development of a more exact portfolio theory or to understand better the complexities in human and financial behaviors. A comparison of both statistics is made.

Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437102005459
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:eee:phsmap:v:309:y:2002:i:3:p:381-387

DOI: 10.1016/S0378-4371(02)00545-9

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().