Transitions between superstatistical regimes: validity, breakdown and applications
arXiv:1707.04838 · doi:10.1016/j.physa.2017.09.109
Abstract
Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in terms of a single nuisance parameter is often too restrictive when applied to complex empirical data. Here we show that a multi-scale generalization of the superstatistics paradigm is more versatile, allowing to address such pertinent issues as transmutation of statistics or inter-scale stochastic behavior. To put some flesh on the bare bones, we provide a numerical evidence for a transition between two superstatistics regimes, by analyzing high-frequency (minute-tick) data for share-price returns of seven selected companies. Salient issues, such as breakdown of superstatistics in fractional diffusion processes or connection with Brownian subordination are also briefly discussed.
References in corpus (7)
- Defect turbulence and generalized statistical mechanics
- Superpositions of Probability Distributions
- Superstatistics approach to path integral for a relativistic particle
- Statistics of Lagrangian quantum turbulence
- On superstatistical multiplicative-noise processes
- Green function of the double fractional Fokker-Planck equation: Path integral and stochastic differential equations
- Perturbation Expansion for Option Pricing with Stochastic Volatility