Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence Export

@article{citeulike:5861933, 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 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.}, author = {Van der Straeten, Erik and Beck, Christian}, citeulike-article-id = {5861933}, citeulike-linkout-0 = {http://scitation.aip.org/getabs/servlet/GetabsServlet?prog=normal&id=PLEEE8000080000003036108000001&idtype=cvips&gifs=yes}, citeulike-linkout-1 = {http://link.aps.org/abstract/PRE/v80/e036108}, citeulike-linkout-2 = {http://dx.doi.org/10.1103/PhysRevE.80.036108}, doi = {10.1103/PhysRevE.80.036108}, journal = {Physical Review E (Statistical, Nonlinear, and Soft Matter Physics)}, keywords = {dynamics, economics, method, noise, statistics, superstatistics, turbulence}, number = {3}, pages = {036108+}, posted-at = {2009-09-30 22:03:27}, priority = {2}, publisher = {APS}, title = {Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence}, url = {http://dx.doi.org/10.1103/PhysRevE.80.036108}, volume = {80}, year = {2009} }

TY - JOUR ID - citeulike:5861933 L3 - citeulike-article-id:5861933 N2 - 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 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. IS - 3 JF - Physical Review E (Statistical, Nonlinear, and Soft Matter Physics) TI - Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence PB - APS VL - 80 SP - 036108 KW - dynamics KW - economics KW - method KW - noise KW - statistics KW - superstatistics KW - turbulence AU - Van der Straeten, Erik AU - Beck, Christian PY - 2009/// UR - http://dx.doi.org/10.1103/PhysRevE.80.036108 ER -