Transitions between superstatistical regimes: Validity, breakdown and applications
Physica A: Statistical Mechanics and its Applications
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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.
AuthorsJizba, P; Korbel, J; Lavička, H; Prokš, M; Svoboda, V; BECK, C
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