Nonextensive thermostatistics description of intermittency in turbulence and financial markets

Citation
Fm. Ramos et al., Nonextensive thermostatistics description of intermittency in turbulence and financial markets, NONLIN ANAL, 47(5), 2001, pp. 3521-3530
Citations number
30
Categorie Soggetti
Mathematics
Journal title
NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS
ISSN journal
0362546X → ACNP
Volume
47
Issue
5
Year of publication
2001
Part
5
Pages
3521 - 3530
Database
ISI
SICI code
0362-546X(200108)47:5<3521:NTDOII>2.0.ZU;2-J
Abstract
We present a new framework for modeling the statistical behavior of both fu lly developed turbulence and short-term dynamics of financial markets based on the generalized non-extensive thermostatistics formalism. We also show that intermittency - strong bursts in the energy dissipation or clusters of high price volatility and non-extensivity - anomalous scaling of usually e xtensive properties like entropy - are naturally linked by a single paramet er q, from the non-extensive thermostatistics.