Intermittency and Nonextensivity in Turbulence and Financial Markets

Details Intermittency and Nonextensivity in Turbulence and Financial Markets Intermittency and Nonextensivity in Turbulence and Financial Markets

1999-07-22

arxiv.org/abs/cond-mat/9907348v2

Physics

Condensed Matter

LaTex file + 3 postscript figures, 9 pages, submitted to Europhysics Letters

Scientific paper

We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency -- strong bursts in the energy dissipation or clusters of high price volatility -- and nonextensivity -- anomalous scaling of usually extensive properties like entropy -- are naturally linked by a single parameter q, from the nonextensive thermostatistics.

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