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Economics and Finance: q-Statistical Stylized Features Galore

The Boltzmann–Gibbs (BG) entropy and its associated statistical mechanics were generalized, three decades ago, on the basis of the nonadditive entropy Sq (qR), which recovers the BG entropy in the q1 limit. The optimization of Sq under appropriate simple constraints straightforwardly yields the so-called q-exponential and q-Gaussian distributions, respectively generalizing the exponential and Gaussian ones, recovered for q=1. These generalized functions ubiquitously emerge in complex systems, especially as economic and financial stylized features. These include price returns and volumes distributions, inter-occurrence times, characterization of wealth distributions and associated inequalities, among others. Here, we briefly review the basic concepts of this q-statistical generalization and focus on its rapidly growing applications in economics and finance.


C. Tsallis, Economics and Finance: q-Statistical Stylized Features Galore, Entropy 19(9) (2017) 457

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