Superstatistical fluctuations in time series: applications to share-price dynamics and turbulence.

Clicks: 357
ID: 70095
2009
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Ranked #6 of 17 articles by views in physical review e, statistical, nonlinear, and soft matter physics

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Abstract
We report a general technique to study a given experimental time series with superstatistics. Crucial for the applicability of the superstatistics concept is the existence of a parameter beta that fluctuates on a large time scale as compared to the other time scales of the complex system under consideration. The proposed method extracts the main superstatistical parameters out of a given data set and examines the validity of the superstatistical model assumptions. We test the method thoroughly with surrogate data sets. Then the applicability of the superstatistical approach is illustrated using real experimental data. We study two examples, velocity time series measured in turbulent Taylor-Couette flows and time series of log returns of the closing prices of some stock market indices.
Reference Key
van-der-straeten2009superstatisticalphysical Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Van der Straeten, Erik;Beck, Christian;
Journal physical review e, statistical, nonlinear, and soft matter physics
Year 2009
DOI
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Keywords
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