Soft Matter and Complex Systems Seminar

The problem of the excessive losses is a central one (both from theoretical and practical points of view) in market activity. The goal of the talk is to present a consistent desription of empirical data (supplied in this context by Ludescher, Tsallis and Bunde [1,2]) by the Continuous-Time Random Walk (CTRW) & Extreme Value Theory (EVT) supported by the postional statistics. We found that superstatistics, defined by the convolution of the Weibull distribution and the Poisson one based on the stretched exponential relaxation time, derived within the CTRW & EVT, consistently described the „universal” statistics of interoccurrence times between excessive losses on financial markets, despite the fact that these data were already earlier described in part by q-exponential. We believe that our approach gives also an input to study autocorrelations between these interoccurrence times.

[1] J. Ludescher, C. Tsallis and A. Bunde: Universal bevaviour of interoccurrence times between losses in financial markets: An analytical description, EPL 95 (2011) 68002.
[2] J. Ludescher and A. Bunde: Universal bevavior of interoccurrence times between losses in financial markets: Independence of the time resolution, Phys. Rev. E 90 (2014) 062809.