Statistical Collapse of Excessive Market Losses

• Authors: M. Denys , M. Jagielski , T. Gubiec , R. Kutner , H. Stanley
• Languages of publication: EN

Abstracts

EN

We analytically derive superstatistics (or complex statistics) that accurately model empirical market activity data (supplied by Bogachev, Ludescher, Tsallis, and Bunde) exhibiting transition thresholds. We measure the interevent times between excessive losses (that is, greater than some threshold) and use the mean interevent time as a control variable to derive a universal description of empirical data collapse. Our superstatistic value is a power-law corrected by the lower incomplete gamma function, which asymptotically tends toward robustness but initially gives an exponential. We find that the scaling shape exponent that drives our superstatistics subordinates themselves and a "superscaling" configuration emerges.

Keywords

EN

89.65 Gh; 05.40.-a; 89.75.Da

Discipline

• 89.75.Da: Systems obeying scaling laws
• 05.40.-a: Fluctuation phenomena, random processes, noise, and Brownian motion(for fluctuations in superconductivity, see 74.40.-n; for statistical theory and fluctuations in nuclear reactions, see 24.60.-k; for fluctuations in plasma, see 52.25.Gj; for nonlinear dynamics and chaos, see 05.45.-a)

• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 5
• Pages: 913-916

Dates

published

2016-05

Contributors

author

M. Denys

• Faculty of Physics, University of Warsaw, L. Pasteura 5, PL-02-093 Warsaw, Poland

author

M. Jagielski

• Faculty of Physics, University of Warsaw, L. Pasteura 5, PL-02-093 Warsaw, Poland
• Center for Polymer Studies and Dept. of Physics, Boston Univ., Boston, MA 02215, USA
• Department of Management, Technology and Economics, ETHZ, Scheuchzerstr. 7, CH-8092 Zürich, Switzerland

author

T. Gubiec

• Faculty of Physics, University of Warsaw, L. Pasteura 5, PL-02-093 Warsaw, Poland

author

R. Kutner

• Faculty of Physics, University of Warsaw, L. Pasteura 5, PL-02-093 Warsaw, Poland

author

H. Stanley

• Center for Polymer Studies and Dept. of Physics, Boston Univ., Boston, MA 02215, USA

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Identifiers

DOI

10.12693/APhysPolA.129.913