Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important rôle in analysis of hierarchical complex dynamical systems. Yet, its “canonical” formulation in terms of a single nuisance parameter is often too restrictive when applied to complex empirical data.

Here we show that a multi-scale generalization of the superstatistics paradigm is more versatile, allowing to address such pertinent issues as transmutation of statistics or inter-scale stochastic behavior. To put some flesh on the bare bones, we provide a numerical evidence for a transition between two superstatistics regimes, by analyzing high-frequency (minute-tick) data for share-price returns of seven selected companies. Salient issues, such as breakdown of superstatistics in fractional diffusion processes or connection with Brownian subordination are also briefly discussed.

P. Jizba, J. Korbel, et al., Transitions between superstatistical regimes: Validity, breakdown and applications, Physica A: Statistical Mechanics and its Applications, Vol 493 (2018) 29–46