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2016 | 129 | 5 | 913-916
Article title

Statistical Collapse of Excessive Market Losses

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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
Year
Volume
129
Issue
5
Pages
913-916
Physical description
Dates
published
2016-05
References
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv129n503kz
Identifiers
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