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Intermittency and Nonextensivity in Turbulence and Financial Markets

F. M. Ramos·C. Rodrigues Neto·R. R. Rosa
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Abstract

We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency -- strong bursts in the energy dissipation or clusters of high price volatility -- and nonextensivity -- anomalous scaling of usually extensive properties like entropy -- are naturally linked by a single parameter q, from the nonextensive thermostatistics.

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F. M. Ramos, C. Rodrigues Neto, R. R. Rosa. 1999-07-23. Intermittency and Nonextensivity in Turbulence and Financial Markets. https://arxiv.org/abs/cond-mat/9907348

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