Tsallis statistics and gradually truncated Levy flight - distribution of an economical index

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dc.contributor.authorGupta, H. M.
dc.contributor.authorCampanha, JR
dc.contributor.institutionUniversidade Estadual Paulista (Unesp)
dc.date.accessioned2014-05-20T15:29:35Z
dc.date.available2014-05-20T15:29:35Z
dc.date.issued2002-06-15
dc.description.abstractTsallis 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 Levy 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 Levy distribution, after certain critical step size for describing complex systems, is a requirement of generalized thermodynamics or similar. The gradually truncated Levy 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. (C) 2002 Published by Elsevier B.V. B.V.en
dc.description.affiliationUniv Estadual Paulista, IGCE, Dept Fis, BR-13500970 Rio Claro, SP, Brazil
dc.description.affiliationUnespUniv Estadual Paulista, IGCE, Dept Fis, BR-13500970 Rio Claro, SP, Brazil
dc.format.extent381-387
dc.identifierhttp://dx.doi.org/10.1016/S0378-4371(02)00545-9
dc.identifier.citationPhysica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 309, n. 3-4, p. 381-387, 2002.
dc.identifier.doi10.1016/S0378-4371(02)00545-9
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11449/39138
dc.identifier.wosWOS:000176342800009
dc.language.isoeng
dc.publisherElsevier B.V.
dc.relation.ispartofPhysica A: Statistical Mechanics and Its Applications
dc.relation.ispartofjcr2.132
dc.relation.ispartofsjr0,773
dc.rights.accessRightsAcesso restrito
dc.sourceWeb of Science
dc.titleTsallis statistics and gradually truncated Levy flight - distribution of an economical indexen
dc.typeArtigo
dcterms.licensehttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dcterms.rightsHolderElsevier B.V.
unesp.campusUniversidade Estadual Paulista (Unesp), Instituto de Geociências e Ciências Exatas, Rio Claropt

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Artigos - Física - IGCE