Regensburg 2010 – wissenschaftliches Programm
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DY: Fachverband Dynamik und Statistische Physik
DY 30: Posters II
DY 30.53: Poster
Donnerstag, 25. März 2010, 16:00–18:00, Poster C
Nonextensive statistics with application to financial processes from nonlinear stochastic differential equations — Vygintas Gontis, Julius Ruseckas, Aleksejus Kononovicius, Miglius Alaburda, and •Bronislovas Kaulakys — Institute of Theoretical Physics and Astronomy, Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania
Starting from the multiplicative point process and nonlinear stochastic models of 1/f noise and power-law distributions [1] we present nonlinear stochastic differential equations generating processes with the q-exponential and q-Gaussian distributions of the observables with the long-range power-law autocorrelations and 1/fβ noise [2]. Further we analyze properties of solutions of these equations in relation with the superstatistical approach [3] and relevance of the generalized and adapted equations for modeling of the financial processes [4].
[1] B. Kaulakys and M. Alaburda, J. Stat. Mech. P02051 (2009).
[2] V. Gontis, B. Kaulakys, and J. Ruseckas, AIP Conf. Proc. 1129, 563 (2009).
[3] B. Kaulakys, M. Alaburda, V. Gontis, and J. Ruseckas, Brazilian J. Phys. 39, 456 (2009).
[4] V. Gontis, J. Ruseckas, and A. Kononovicius, Physica A 389, 100 (2010).