Produção Nacional
Revisado por pares
Is the expression valid for real financial data?
2006; Elsevier BV; Volume: 373; Linguagem: Inglês
10.1016/j.physa.2006.05.054
ISSN1873-2119
AutoresDaniel O. Cajueiro, Benjamin Miranda Tabak,
Tópico(s)Financial Risk and Volatility Modeling
ResumoNon-extensive thermodynamics is one of the most intriguing physics new frontiers. A large number of researchers have been successfully finding connections between the new concepts introduced by this new field and other complex systems already presented. In particular, Borland [Phys. Rev. E 57 (1998) 6634–6642] has introduced a very interesting relation between the entropic index q that arises in the non-extensive entropy and the well-known Hurst exponent H used to measure long-range dependence in complex systems. In this paper, we provide statistical support to Borland results and test the validity of these results in real financial data.
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