Descripción
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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 dierent time scales ?t. Such cumulative distributions, in accordance with a variety of complex { and ?nancial { 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; ?), that are uniquely de?ned by ?t. From these dependencies, we ?nd a monotonic relationship between q and ?, which can be seen as evidence of criticality. We numerically determine the various exponents which characterize this criticality. | |
Internacional
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Si |
JCR del ISI
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Si |
Título de la revista
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The European Physical Journal. B |
ISSN
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1434-6028 |
Factor de impacto JCR
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1,44 |
Información de impacto
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Volumen
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DOI
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10.1140/epjb/e2017-80535-3 |
Número de revista
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1 |
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5 |
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Ranking
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