172 citations · 1.5k across the 67 of their papers we have counts for
5 papers · 1 filter
Transitions between superstatistical regimes: validity, breakdown and applications
Petr Jizba, Jan Korbel, Hynek Lavička +3
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 "cano…
Techniques for multifractal spectrum estimation in financial time series
Petr Jizba, Jan Korbel
Multifractal analysis is one of the important approaches that enables us to measure the complexity of various data via the scaling properties. We compare the most common techniques…
Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
Petr Jizba, Jan Korbel
In the framework of Multifractal Diffusion Entropy Analysis we propose a method for choosing an optimal bin-width in histograms generated from underlying probability distributions…
Renyi's information transfer between financial time series
Petr Jizba, Hagen Kleinert, Mohammad Shefaat
In this paper, we quantify the statistical coherence between financial time series by means of the Renyi entropy. With the help of Campbell's coding theorem we show that the Renyi…
Smearing Distributions and their use in Financial Markets
Petr Jizba, Hagen Kleinert
It is shown that superpositions of path integrals with arbitrary Hamiltonians and different scaling parameters v ("variances") obey the Chapman-Kolmogorov relation for Markovian pr…