Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2004-02-26
Physics
Condensed Matter
Statistical Mechanics
10 pages, 4 figures, 1 table, to appear in Physica A
Scientific paper
In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.
Mantegna Rosario Nunzio
Mattedi Adriana P.
Ramos Fernando M.
Roberto Rosa Reinaldo
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