Transitions between superstatistical regimes: Validity, breakdown and applications

Petr Jizba, Jan Korbel, Hynek Lavička, Martin Prokš, Václav Svoboda and Christian Beck

Physica A: Statistical Mechanics and its Applications, 2018, vol. 493, issue C, 29-46

Abstract: Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important rôle 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.

Keywords: Superstatistics; Stochastic processes; Transmutation of statistics; Financial time series (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:493:y:2018:i:c:p:29-46

DOI: 10.1016/j.physa.2017.09.109

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