Regensburg 2004 – wissenschaftliches Programm

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SYFT: Fat-Tail Distributions - Applications from Physics to Finance

SYFT 1: Fat-Tail Distributions - Applications from Physics to Finance

SYFT 1.1: Hauptvortrag

Donnerstag, 11. März 2004, 09:30–10:00, H1

Fat Tail Statistics and Beyond — •Joachim Peinke — Hydrodynamics Group , Faculty of Physics, Carl v. Ossietzky University, D - 26111 Oldenburg

Many complex systems are characterized by non-Gaussian statistics, which show pronounced fat tails. For risk analysis these fat tails play a very important role. Analyzing different systems with respect to their fat tail statistics, the question arises whether there are common or universal features behind this stochastic phenomenon or not. In this talk data from different systems are presented together with their fat tail statistics. In particular we present results from environmental systems, from turbulent flows and from the financial exchange market. Besides the comparison of the statistics, we present a method to reconstruct from the data stochastic processes which model the heavy tail statistics accurately. These reconstructed stochastic systems are given as a specific Fokker-Planck equation, which provides a statistically more complete characterization of the system’s complexity. Even for similar fat tail statistics we find that different underlying stochastic processes are present.