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cond-mat.stat-mech2002
Black-Scholes-Like Derivative Pricing With Tsallis Non-extensive Statistics
Fredrick Michael, M. D. Johnson
We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results…
cond-mat.stat-mech2001★ 2 cited
Financial Market Dynamics
Fredrick Michael, M. D. Johnson
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in de…