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  • Electronic Resource  (2)
  • 2000-2004  (2)
  • 2002  (2)
  • PACS. 02.50.-r Probability theory, stochastic processes, and statistics – 05.20.-y Classical statistical mechanics – 05.30.-d Quantum statistical mechanics – 05.70.-a Thermodynamics  (1)
  • PACS. 02.50.Ey Stochastic processes – 02.60.Ed Interpolation; curve fitting – 05.45.Tp Time series analysis  (1)
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  • Electronic Resource  (2)
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  • 2000-2004  (2)
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  • 2002  (2)
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  • 1
    Electronic Resource
    Electronic Resource
    Nonextensive statistics and incomplete information (2002)
    Springer
    The European physical journal 26 (2002), S. 357-368 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 02.50.-r Probability theory, stochastic processes, and statistics – 05.20.-y Classical statistical mechanics – 05.30.-d Quantum statistical mechanics – 05.70.-a Thermodynamics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We comment on some open questions and theoretical peculiarities in Tsallis nonextensive statistical mechanics. It is shown that the theoretical basis of the successful Tsallis' generalized exponential distribution shows some worrying properties with the conventional normalization and the escort probability. These theoretical difficulties may be avoided by introducing an so called incomplete normalization allowing to deduce Tsallis' generalized distribution in a more convincing and consistent way.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e20020100
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Waiting time distributions in financial markets (2002)
    Springer
    The European physical journal 27 (2002), S. 273-275 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 02.50.Ey Stochastic processes – 02.60.Ed Interpolation; curve fitting – 05.45.Tp Time series analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We study waiting time distributions for data representing two completely different financial markets that have dramatically different characteristics. The first are data for the Irish market during the 19th century over the period 1850 to 1854. A total of 10 stocks out of a database of 60 are examined. The second database is for Japanese yen currency fluctuations during the latter part of the 20th century (1989-1992). The Irish stock activity was recorded on a daily basis and activity was characterised by waiting times that varied from one day to a few months. The Japanese yen data was recorded every minute over 24 hour periods and the waiting times varied from a minute to a an hour or so. For both data sets, the waiting time distributions exhibit power law tails. The results for Irish daily data can be easily interpreted using the model of a continuous time random walk first proposed by Montroll and applied recently to some financial data by Mainardi, Scalas and colleagues. Yen data show a quite different behaviour. For large waiting times, the Irish data exhibit a cut off; the Yen data exhibit two humps that could arise as result of major trading centres in the World.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e20020151
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    Paper (German National Licenses)
    Fulltext
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