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Silvio M. Duarte Queiros

Publications and source records attributed to Silvio M. Duarte Queiros.

36 records · Page 2Linked to original sources

On a comparative study between dependence scales determined by linear and non-linear measures

In this manuscript we present a comparative study about the determination of the relaxation (\textit{i.e.}, independence) time scales obtained from the correlation function, the mutual information, and a criterion based on the evaluation of a nonextensive generalisation of mutual entropy. Our results show that, for systems with a small degree of complexity, standard mutual information and the criterion based on its nonextensive generalisation provide the same scale, whereas for systems with a higher complex dynamics the standard mutual information presents a time scale consistently smaller.

cond-mat.stat-mech↗

On discrete stochastic processes with long-lasting time dependence

In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a memory of $q_{m}$-exponencial, form ($e_{q_{m}=1}^{x}=e^{x}$). Specifically, we inspect the self-correlation function of squared random variables as well as the kurtosis. In addition, by numerical procedures, we infer the stationary probability density function of both of the heteroskedastic random variables and the variance, the multiscaling properties, the first-passage times distribution, and the dependence degree. Finally, we introduce an asymmetric variance version of the model that enables us to reproduce the so-called leverage effect in financial markets.

physics.data-an↗

On superstatistical multiplicative-noise processes

In this manuscript we analyse the long-term probability density function of non-stationary dynamical processes which are enclosed inward the Feller class of processes with time varying exponents for multiplicative noise. The update in the value of the exponent occurs in the same conditions presented by Beck and Cohen for superstatistics. Moreover, we are able to provide a dynamical scenario for the emergence of a generalisation of the Weibull distribution previously introduced.

cond-mat.stat-mech↗

Effective multifractal features and l-variability diagrams of high-frequency price fluctuations time series

In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about quantification of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent influence of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.

q-fin.ST↗

Are all highly liquid securities within the same class?

In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that log-fluctuations belong to the Levy class of stochastic variables.

q-fin.ST↗

Nonextensive statistical mechanics and central limit theorems II - Convolution of q-independent random variables

In this article we review recent generalisations of the central limit theorem for the sum of specially correlated (or q-independent) variables, focusing on q greater or equal than 1. Specifically, this kind of correlation turns the probability density function known as q-Gaussian, which emerges upon maximisation of the entropy Sq, into an attractor in probability space. Moreover, we also discuss a q-generalisation of a-stable Levy distributions which can as well be stable for this special kind of correlation.Within this context, we verify the emergence of a triplet of entropic indices which relate the form of the attractor, the correlation, and the scaling rate, similar to the q-triplet that connects the entropic indices characterising the sensitivity to initial conditions, the stationary state, and relaxation to the stationary state in anomalous systems.

cond-mat.stat-mech↗

Nonextensive statistical mechanics and central limit theorems I - Convolution of independent random variables and q-product

In this article we review the standard versions of the Central and of the Levy-Gnedenko Limit Theorems, and illustrate their application to the convolution of independent random variables associated with the distribution known as q-Gaussian. This distribution emerges upon extremisation of the nonadditive entropy, basis of nonextensive statistical mechanics. It has a finite variance for q < 5/3, and an infinite one for q > 5/3. We exhibit that, in the case of (standard) independence, the q-Gaussian has either the Gaussian (if q < 5/3) or the a-stable Levy distributions (if q > 5/3) as its attractor in probability space. Moreover, we review a generalisation of the product, the q-product, which plays a central role in the approach of the specially correlated variables emerging within the nonextensive theory.

cond-mat.soft↗

On a generalised model for time-dependent variance with long-term memory

The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series with time-dependent variance like it appears on a wide broad of systems besides economics in which ARCH was born. Although the ARCH process captures the so-called "volatility clustering" and the asymptotic power-law probability density distribution of the random variable, it is not capable to reproduce further statistical properties of many of these time series such as: the strong persistence of the instantaneous variance characterised by large values of the Hurst exponent (H > 0.8), and asymptotic power-law decay of the absolute values self-correlation function. By means of considering an effective return obtained from a correlation of past returns that has a q-exponential form we are able to fix the limitations of the original model. Moreover, this improvement can be obtained through the correct choice of a sole additional parameter, $q_{m}$. The assessment of its validity and usefulness is made by mimicking daily fluctuations of SP500 financial index.

physics.data-an↗

Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes

In this article we analyse linear correlation and non-linear dependence of traded volume, $v$, of the 30 constituents of Dow Jones Industrial Average at different value scales. Specifically, we have raised $v$ to some real value $α$ or $β$, which introduces a bias for small ($ α, β<0$) or large ($α, β>1$) values. Our results show that small values of $v$ are regularly \emph{anti-correlated} with values at other scales of traded volume. This is consistent with the high liquidity of the 30 equities analysed and the asymmetric form of the multi-fractal spectrum for traded volume which has supported the dynamical scenario presented by us.

physics.data-an↗

A nonextensive approach to the dynamics of financial observables

We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy $S_{q}=k\frac{1-\sum\limits_{i=1}^{W} p_{i} ^{q}}{1-q} (q\in \Re)$ ($S_{1} \equiv S_{BG}=-k\sum\limits_{i=1}^{W}p_{i} \ln p_{i}$). More precisely, we present stochastic dynamical mechanisms which mimic probability density functions empirically observed. These mechanisms provide possible interpretations for the emergence of the entropic indices $q$ in the time evolution of the corresponding observables. In addition to this, through multi-fractal analysis of return time series, we verify that the dual relation $q_{stat}+q_{sens}=2$ is numerically satisfied, $q_{stat}$ and $q_{sens}$ being associated to the probability density function and to the sensitivity to initial conditions respectively. This type of simple relation, whose understanding remains ellusive, has been empirically verified in various other systems.

physics.data-an↗

On statistical properties of traded volume in financial markets

In this article we study the dependence degree of the traded volume of the Dow Jones 30 constituent equities by using a nonextensive generalised form of the Kullback-Leibler information measure. Our results show a slow decay of the dependence degree as a function of the lag. This feature is compatible with the existence of non-linearities in this type time series. In addition, we introduce a dynamical mechanism whose associated stationary probability density function (PDF) presents a good agreement with the empirical results.

physics.data-an↗

Power-law distributions in economics: a nonextensive statistical approach

The cornerstone of Boltzmann-Gibbs ($BG$) statistical mechanics is the Boltzmann-Gibbs-Jaynes-Shannon entropy $S_{BG} \equiv -k\int dx f(x)\ln f(x)$, where $k$ is a positive constant and $f(x)$ a probability density function. This theory has exibited, along more than one century, great success in the treatment of systems where short spatio/temporal correlations dominate. There are, however, anomalous natural and artificial systems that violate the basic requirements for its applicability. Different physical entropies, other than the standard one, appear to be necessary in order to satisfactorily deal with such anomalies. One of such entropies is $S_q \equiv k (1-\int dx [f(x)]^q)/(1-q)$ (with $S_1=S_{BG}$), where the entropic index $q$ is a real parameter. It has been proposed as the basis for a generalization, referred to as {\it nonextensive statistical mechanics}, of the $BG$ theory. $S_q$ shares with $S_{BG}$ four remarkable properties, namely {\it concavity} ($\forall q>0$), {\it Lesche-stability} ($\forall q>0$), {\it finiteness of the entropy production per unit time} ($q \in \Re$), and {\it additivity} (for at least a compact support of $q$ including $q=1$). The simultaneous validity of these properties suggests that $S_q$ is appropriate for bridging, at a macroscopic level, with classical thermodynamics itself. In the same natural way that exponential probability functions arise in the standard context,power-law tailed distributions, even with exponents {\it out} of the Lévy range, arise in the nonextensive framework. In this review, we intend to show that many processes of interest in economy, for which fat-tailed probability functions are empirically observed, can be described in terms of the statistical mechanisms that underly the nonextensive theory.

physics.soc-ph↗

On the distribution of high-frequency stock market traded volume: a dynamical scenario

This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture, physically connected to superstatiscs, which is intimately related with the current nonextensive statistical mechanics framework, is based on the idea of local fluctuations in the mean traded volume associated to financial markets agents herding behaviour. The corroboration of this mesoscopic model is done by modelising NASDAQ 1 and 2 minute stock market traded volume.

cond-mat.stat-mech↗

On the connection between financial processes with stochastic volatility and nonextensive statistical mechanics

The $GARCH$ algorithm is the most renowned generalisation of Engle's original proposal for modelising {\it returns}, the $ARCH$ process. Both cases are characterised by presenting a time dependent and correlated variance or {\it volatility}. Besides a memory parameter, $b$, (present in $ARCH$) and an independent and identically distributed noise, $ω$, $GARCH$ involves another parameter, $c$, such that, for $c=0$, the standard $ARCH$ process is reproduced. In this manuscript we use a generalised noise following a distribution characterised by an index $q_{n}$, such that $q_{n}=1$ recovers the Gaussian distribution. Matching low statistical moments of $GARCH$ distribution for returns with a $q$-Gaussian distribution obtained through maximising the entropy $S_{q}=\frac{1-\sum_{i}p_{i}^{q}}{q-1}$, basis of nonextensive statistical mechanics, we obtain a sole analytical connection between $q$ and $(b,c,q_{n}) $ which turns out to be remarkably good when compared with computational simulations. With this result we also derive an analytical approximation for the stationary distribution for the (squared) volatility. Using a generalised Kullback-Leibler relative entropy form based on $S_{q}$, we also analyse the degree of dependence between successive returns, $z_{t}$ and $z_{t+1}$, of GARCH(1,1) processes. This degree of dependence is quantified by an entropic index, $q^{op}$. Our analysis points the existence of a unique relation between the three entropic indexes $q^{op}$, $q$ and $q_{n}$ of the problem, independent of the value of $(b,c)$.

cond-mat.stat-mech↗

Edge of chaos of the classical kicked top map: Sensitivity to initial conditions

We focus on the frontier between the chaotic and regular regions for the classical version of the quantum kicked top. We show that the sensitivity to the initial conditions is numerically well characterised by $ξ=e_q^{λ_q t}$, where $e_{q}^{x}\equiv [ 1+(1-q) x]^{\frac{1}{1-q}} (e_1^x=e^x)$, and $λ_q$ is the $q$-generalization of the Lyapunov coefficient, a result that is consistent with nonextensive statistical mechanics, based on the entropy $S_q=(1- \sum_ip_i^q)/(q-1) (S_1 =-\sum_i p_i \ln p_i$). Our analysis shows that $q$ monotonically increases from zero to unity when the kicked-top perturbation parameter $α$ increases from zero (unperturbed top) to $α_c$, where $α_c \simeq 3.2$. The entropic index $q$ remains equal to unity for $α\ge α_c$, parameter values for which the phase space is fully chaotic.

cond-mat.stat-mech↗

On a possible dynamical scenario leading to a generalised Gamma distribution

In this report I present a possible scenario which can lead to the emergence of a generalised Gamma distribution first presented by R. Osorio et al. as the distribution of traded volumes of stocks in financial markets. This propose is related with superstatics and the notion of moving average commonly used in econometrics.

physics.data-an↗

On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics

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 equation which has as solution the power-laws that optimise the entropic form $S_{q}=-k \frac{1-\int p_{x}^{q} dx}{1-q}$, base of present non-extensive statistical mechanics.

cond-mat.stat-mech↗

Bridging the ARCH model for finance and nonextensive entropy

Engle's ARCH algorithm is a generator of stochastic time series for financial returns (and similar quantities) characterized by a time-dependent variance. It involves a memory parameter $b$ ($b=0$ corresponds to {\it no memory}), and the noise is currently chosen to be Gaussian. We assume here a generalized noise, namely $q_n$-Gaussian, characterized by an index $q_{n} \in {\cal R}$ ($q_{n}=1$ recovers the Gaussian case, and $q_n>1$ corresponds to tailed distributions). We then match the second and fourth momenta of the ARCH return distribution with those associated with the $q$-Gaussian distribution obtained through optimization of the entropy $S_{q}=\frac{% 1-\sum_{i} {p_i}^q}{q-1}$, basis of nonextensive statistical mechanics. The outcome is an {\it analytic} distribution for the returns, where an unique $q\ge q_n$ corresponds to each pair $(b,q_n)$ ($q=q_n$ if $ b=0$). This distribution is compared with numerical results and appears to be remarkably precise. This system constitutes a simple, low-dimensional, dynamical mechanism which accommodates well within the current nonextensive framework.

cond-mat.stat-mech↗