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Register a new userEvidence for criticality in financial data
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Added by
Guiomar Ruiz Prof.
Publication date
2017
fields
Financial
and research's language is
English
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We provide evidence that cumulative distributions of absolute normalized returns for the $100$ American companies with the highest market capitalization, uncover a critical behavior for different time scales $Delta t$. Such cumulative distributions, in accordance with a variety of complex --and financial-- systems, can be modeled by the cumulative distribution functions of $q$-Gaussians, the distribution function that, in the context of nonextensive statistical mechanics, maximizes a non-Boltzmannian entropy. These $q$-Gaussians are characterized by two parameters, namely $(q,beta)$, that are uniquely defined by $Delta t$. From these dependencies, we find a monotonic relationship between $q$ and $beta$, which can be seen as evidence of criticality. We numerically determine the various exponents which characterize this criticality.
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