Economics and Finance: q-Statistical Stylized Features Galore
The Boltzmann–Gibbs (BG) entropy and its associated statistical mechanics were generalized, three decades ago, on the basis of the nonadditive entropy S q ( q ∈ R ), which recovers the BG entropy in the q → 1 limit. The optimization of S q under appropriate simple const...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-08-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/19/9/457 |
| _version_ | 1798038034152685568 |
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| author | Constantino Tsallis |
| author_facet | Constantino Tsallis |
| author_sort | Constantino Tsallis |
| collection | DOAJ |
| description | The Boltzmann–Gibbs (BG) entropy and its associated statistical mechanics were generalized, three decades ago, on the basis of the nonadditive entropy S q ( q ∈ R ), which recovers the BG entropy in the q → 1 limit. The optimization of S q under appropriate simple constraints straightforwardly yields the so-called q-exponential and q-Gaussian distributions, respectively generalizing the exponential and Gaussian ones, recovered for q = 1 . These generalized functions ubiquitously emerge in complex systems, especially as economic and financial stylized features. These include price returns and volumes distributions, inter-occurrence times, characterization of wealth distributions and associated inequalities, among others. Here, we briefly review the basic concepts of this q-statistical generalization and focus on its rapidly growing applications in economics and finance. |
| first_indexed | 2024-04-11T21:34:42Z |
| format | Article |
| id | doaj.art-2b134825b2714ef8afa7c75738634d66 |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-11T21:34:42Z |
| publishDate | 2017-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-2b134825b2714ef8afa7c75738634d662022-12-22T04:01:48ZengMDPI AGEntropy1099-43002017-08-0119945710.3390/e19090457e19090457Economics and Finance: q-Statistical Stylized Features GaloreConstantino Tsallis0Centro Brasileiro de Pesquisas Físicas and National Institute of Science and Technology for Complex Systems, Rua Xavier Sigaud 150, Urca, Rio de Janeiro 22290-180, BrazilThe Boltzmann–Gibbs (BG) entropy and its associated statistical mechanics were generalized, three decades ago, on the basis of the nonadditive entropy S q ( q ∈ R ), which recovers the BG entropy in the q → 1 limit. The optimization of S q under appropriate simple constraints straightforwardly yields the so-called q-exponential and q-Gaussian distributions, respectively generalizing the exponential and Gaussian ones, recovered for q = 1 . These generalized functions ubiquitously emerge in complex systems, especially as economic and financial stylized features. These include price returns and volumes distributions, inter-occurrence times, characterization of wealth distributions and associated inequalities, among others. Here, we briefly review the basic concepts of this q-statistical generalization and focus on its rapidly growing applications in economics and finance.https://www.mdpi.com/1099-4300/19/9/457economics and financenonadditive entropiesnonextensive statistical mechanics |
| spellingShingle | Constantino Tsallis Economics and Finance: q-Statistical Stylized Features Galore Entropy economics and finance nonadditive entropies nonextensive statistical mechanics |
| title | Economics and Finance: q-Statistical Stylized Features Galore |
| title_full | Economics and Finance: q-Statistical Stylized Features Galore |
| title_fullStr | Economics and Finance: q-Statistical Stylized Features Galore |
| title_full_unstemmed | Economics and Finance: q-Statistical Stylized Features Galore |
| title_short | Economics and Finance: q-Statistical Stylized Features Galore |
| title_sort | economics and finance q statistical stylized features galore |
| topic | economics and finance nonadditive entropies nonextensive statistical mechanics |
| url | https://www.mdpi.com/1099-4300/19/9/457 |
| work_keys_str_mv | AT constantinotsallis economicsandfinanceqstatisticalstylizedfeaturesgalore |