16 citations · 36 across the 5 of their papers we have counts for
5 papers
Relaxation Times for Nonextensive Systems Using Gradient Flow for the Maximization of Tsallis Entropy: An Application to Financial Market Dynamics
Sandhya Devi
In this work, we develop a method to estimate the relaxation time (the time required to reach equilibrium) of a nonextensive system such as financial market dynamics, using a Eucli…
Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios
Sandhya Devi, Sherman Page
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as…
Asymmetric Tsallis distributions for modelling financial market dynamics
Sandhya Devi
Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of…
Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure
Sandhya Devi
Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-…
Financial Market Dynamics: Superdiffusive or not?
Sandhya Devi
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such…