arXiv research

We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results should be applicable to a broad range of markets and exchanges where anomalous diffusion and `heavy' tails of the distribution are present.…

Recently we reported on an application of the Tsallis non-extensive statistics to the S&P500 stock index. There we argued that the statistics are applicable to a broad range of markets and exchanges where anamolous (super) diffusion and 'heavy' tails of the distribution are present, as they are in the S&P500. We have c…

This research improves value-at-risk estimation during financial crises using non-extensive statistical methods.

I introduce a new geometrical approach to thermo--statistical mechanics. Here I highlight the main physical ideas, and how do they translate into geometrical language. I contrast the present approach with previous thermo--statistical--geometrical formalisms, (pseudo-)Riemannian [Weinhold 1975; Ruppeiner 1979] as well a…

In this paper one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, {$\frac{dp_{x}}{d| x|}=-β_{q^{\prime }}p_{x}^{q^{\prime}}-(β_{q}-β_{q^{\prime}}) p_{x}^{q}$}, which corresponds to a generalization of the differential …

Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500…

We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and power-law distributions of the nonextensive statistics. We therefore derive models…

Paper presents characteristic function of Tsallis q-Gaussian and its applications.

This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well …

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is we…

Maximizing energy on flexible curves yields regular or convex polygons.

This work models financial market returns with asymmetric Tsallis distributions, improving fit over symmetric q-Gaussians.

We describe society as a nonequilibrium probabilistic system: N individuals occupy W resource states in it and produce entropy S over definite time periods. Resulting thermodynamics is however unusual because a second entropy, H, measures a typically social feature, inequality or diversity in the distribution of availa…

Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-extensive systems. In this paper, Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to…

Consider the one-parameter generalizations of the logarithmic and exponential functions which are obtained from the integration of non-symmetrical hyperboles. These generalizations coincide to the one obtained in the context of non-extensive thermostatistics. We show that these functions are suitable to describe and un…

To know the statistical distribution of a variable is an important problem in management of resources. Distributions of the power law type are observed in many real systems. However power law distributions have an infinite variance and thus can not be used as a standard distribution. Normally professionals in the area …

A weak law of large numbers is established for a sequence of systems of N classical point particles with logarithmic pair potential in $\bbR^n$, or $\bbS^n$, $n\in \bbN$, which are distributed according to the configurational microcanonical measure $δ(E-H)$, or rather some regularization thereof, where H is the configu…

Study analyzes stock market dynamics using Tsallis statistics and GHE, revealing pre-bubble and post-bubble market characteristics.

New method uses asymmetric Tsallis relative entropy for better risk assessment in financial portfolios.

For the first time ever, we analyze a unique public procurement database, which includes information about a number of bidders for a contract, a final price, an identification of a winner and an identification of a contracting authority for each of more than 40,000 public procurements in the Czech Republic between 2006…

The paper proves new applications of knot invariants and smooth group actions on 3-spheres.

We study lightlike submanifolds of indefinite statistical manifolds. Contrary to the classical theory of submanifolds of statistical manifolds, lightlike submanifolds of indefinite statistical manifolds need not to be statistical submanifold. Therefore we obtain some conditions for a lightlike submanifold of indefinite…

Kenmotsu geometry is a valuable part of contact geometry with nice applications in other fields such as theoretical physics. In this article, we study the statistical counterpart of a Kenmotsu manifold, that is, Kenmotsu statistical manifold with some related examples. We investigate some statistical curvature properti…

Study anti-invariant submersions from holomorphic statistical manifolds.

Unified approach to private statistics from empirical to population data.

The paper introduces a statistical version of contact CR-product for Sasakian statistical manifolds.

The Bonnet theorem is proven for statistical manifolds.

Enhances power of covariance matrix tests for high-dimensional data.

This paper simplifies computing higher-order $U$-statistics efficiently.

This paper studies the geometry of immersions into statistical manifolds. A necessary and sufficient condition is obtained for statistical manifold structures to be dual to each other for a non-degenerate equiaffine immersion. Then we obtain conditions for realizing an n-dimensional statistical manifold in an (n+1)-dim…

This work uses statistical mechanics to explain AI learning.

The differential geometry of Kenmotsu manifold is a valuable part of contact geometry with nice applications in other fields such as theoretical physics. In fact, its statistical counterpart, that is, Kenmotsu statistical manifold also has same importance as that of Kenmotsu manifold. Theoretical physicists have also b…

Author presents the second variational formula for statistical biharmonic maps.

Study CR-statistical submanifolds in holomorphic statistical spaces.

New statistics are introduced that maintain the Fisher metric structure closely, akin to sufficient statistics.

Lightlike hypersurfaces of a statistical manifold are studied. It is shown that a lightlike hypersurface of a statistical manifold is not a statistical manifold with respect to the induced connections, but the screen distribution has a canonical statistical structure. Some relations between induced geometric objects wi…

Proves Gerber statistic is always non-negative.

This paper deals with the applications of an optimization method on submanifolds, that is, geometric inequalities can be considered as optimization problems. In this regard, we obtain optimal Casorati inequalities and Chen-Ricci inequality for a statistical submanifold in a statistical warped product manifold of type $…

New statistical manifolds derived from identity map biharmonicity.

Active inference framework improves $U$-statistic estimation efficiency.

Sharp inequalities and solitons studied in statistical submersions.

Survey of statistical queries and their applications.

Paper discusses the Fisher metric and differentiability in statistical models.

Study on lightlike geometry in indefinite Sasakian statistical manifolds.

The paper derives Chen inequalities for statistical submanifolds in cosymplectic manifolds.

A new family of nonparametric statistics, the r-statistics, is introduced. It consists of counting the number of records of the cumulative sum of the sample. The single-sample r-statistic is almost as powerful as Student's t-statistic for Gaussian and uniformly distributed variables, and more powerful than the sign and…

The main purpose of the present work is to investigate statistical manifolds endowed with almost product structures. We prove that the statistical structure of a para-Kähler-like statistical manifold of constant curvature in the Kurose's sense is a Hessian structure. We also derive the main properties of statistical su…

Investigates transfer learning in spatial statistics.