It is often objected that we cannot use mathematical methods in finance because (1) finance is dominated by unpredictable unique events (the black swans), (2) there are qualitative effects that cannot be quantified, and (3) the laws themselves of finance keep on changing. In this paper we...

The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey–Glass recently proposed by Kyrtsou and Labys [Kyrtsou, C., Labys, W., 2006. Evi- dence for chaotic dependence between US inflation and commodity prices. Journal of Macroeco- nomics...

This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when price returns are measured over intervals less than one hour, the...

The application of recurrence quantification analysis (RQA) and state space divergence reconstruction for the analysis of financial time series in terms of cross-correlation and forecasting is illustrated using high-frequency time series and random heavy-tailed data sets. The results indicate...

In this paper we analyse tourism sustainability from a modelling point of view. The minimal model we propose is composed of three non-linear ordinary differential equations describing the dynamics of tourists, environment and services. Many of the parameters involved are concerned with the...

Tsallis [Physica A 340 (2004) 1) identified a set of numbers, the “q-triplet” ≡ {qstat, qsen, qrel}, for a system described by non-extensive statistical mechanics. The deviation of the q's from unity is a measure of the departure from thermodynamic equilibrium. We present observations of...

A new methodology based on state space reconstruction techniques has been developed for trading in financial markets. The methodology has been tested using 18 high-frequency foreign exchange time series. The results are in apparent contradiction with the efficient market hypothesis which states...

This manuscript analyzes the fundamental factors that govern the qualitative behavior of discrete dynamical systems. It introduces methods of analysis for stability analysis of discrete dynamical systems. The analysis focuses initially on the derivation of basic propositions about the factors...

The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic...

We revisit some aspects of the foundations of the q-non-extensive thermostatistical formalism, which are particularly relevant to its astronomical applications. We analyse some important features of escort mean values and escort distributions, in connection with the dynamical evolution of...