Is the expression H=1/(3-q) valid for real financial data?

Daniel Cajueiro and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2007, vol. 373, issue C, 593-602

Abstract: Non-extensive thermodynamics is one of the most intriguing physics new frontiers. A large number of researchers have been successfully finding connections between the new concepts introduced by this new field and other complex systems already presented. In particular, Borland [Phys. Rev. E 57 (1998) 6634–6642] has introduced a very interesting relation between the entropic index q that arises in the non-extensive entropy and the well-known Hurst exponent H used to measure long-range dependence in complex systems. In this paper, we provide statistical support to Borland results and test the validity of these results in real financial data.

Keywords: Entropic index; Financial data; Hurst exponent; Long-range dependence (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:373:y:2007:i:c:p:593-602

DOI: 10.1016/j.physa.2006.05.054

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