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Inter-occurrence times and universal laws in finance, earthquakes and genomes

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  • Tsallis, Constantino

Abstract

A plethora of natural, artificial and social systems exist which do not belong to the Boltzmann–Gibbs (BG) statistical-mechanical world, based on the standard additive entropy SBG and its associated exponential BG factor. Frequent behaviors in such complex systems have been shown to be closely related to q-statistics instead, based on the nonadditive entropy Sq (with S1=SBG), and its associated q-exponential factor which generalizes the usual BG one. In fact, a wide range of phenomena of quite different nature exist which can be described and, in the simplest cases, understood through analytic (and explicit) functions and probability distributions which exhibit some universal features. Universality classes are concomitantly observed which can be characterized through indices such as q. We will exhibit here some such cases, namely concerning the distribution of inter-occurrence (or inter-event) times in the areas of finance, earthquakes and genomes.

Suggested Citation

  • Tsallis, Constantino, 2016. "Inter-occurrence times and universal laws in finance, earthquakes and genomes," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 254-266.
    • Handle: RePEc:eee:chsofr:v:88:y:2016:i:c:p:254-266
    DOI: 10.1016/j.chaos.2015.12.025
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    Cited by:

    1. Markelov, Oleg & Nguyen Duc, Viet & Bogachev, Mikhail, 2017. "Statistical modeling of the Internet traffic dynamics: To which extent do we need long-term correlations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 48-60.
    2. Duarte Queirós, Sílvio M. & Anteneodo, Celia, 2016. "Complexity in quantitative finance and economics," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 1-2.
    3. Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019. "Modeling non-stationarities in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.
    4. Liu, Guoliang, 2017. "A new physical model for earthquake time interval distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 62-65.

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