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Transitions between superstatistical regimes: validity, breakdown and applications

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Listed:
  • Petr Jizba
  • Jan Korbel
  • Hynek Laviv{c}ka
  • Martin Prokv{s}
  • V'aclav Svoboda
  • Christian Beck

Abstract

Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in terms of a single nuisance parameter is often too restrictive when applied to complex empirical data. Here we show that a multi-scale generalization of the superstatistics paradigm is more versatile, allowing to address such pertinent issues as transmutation of statistics or inter-scale stochastic behavior. To put some flesh on the bare bones, we provide a numerical evidence for a transition between two superstatistics regimes, by analyzing high-frequency (minute-tick) data for share-price returns of seven selected companies. Salient issues, such as breakdown of superstatistics in fractional diffusion processes or connection with Brownian subordination are also briefly discussed.

Suggested Citation

  • Petr Jizba & Jan Korbel & Hynek Laviv{c}ka & Martin Prokv{s} & V'aclav Svoboda & Christian Beck, 2017. "Transitions between superstatistical regimes: validity, breakdown and applications," Papers 1707.04838, arXiv.org, revised Jul 2017.
    • Handle: RePEc:arx:papers:1707.04838
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