We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our...

This paper introduces an entropy approach to measuring market expectations with respect to overnight interest rates in an inter-bank money market. The findings for the Turkish 2000-2001 borrowing crisis suggest that a dynamic, non-extensive entropy framework provides a valuable insight into the...

The coupled-product and coupled-exponential of the generalized calculus of nonextensive statistical mechanics are defined for multivariate functions. The nonlinear statistical coupling is indexed such that κd=κ/1+dκ, where d is the dimension of the argument of the multivariate...

This paper compares the effectiveness of the Tsallis entropy over the classic Boltzmann–Gibbs–Shannon entropy for general pattern recognition, and proposes a multi-q approach to improve pattern analysis using entropy. A series of experiments were carried out for the problem of classifying...

We consider the thermodynamic stability conditions (TSC) on the Boltzmann entropies generalized by Tsallis’ q- and Kaniadakis’ κ-deformed logarithmic functions. It is shown that the corresponding TSCs are not necessarily equivalent to the concavity of the generalized Boltzmann entropies...