A nonextensive approach to the dynamics of financial observables

We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy $S_{q}=k\frac{1-\sum\limits_{i=1}^{W} p_{i} ^{q}}{1-q} (q\in \Re)$ ($S_{1} \equiv S_{BG}=-k\sum\limits_{i=1}^{W}p_{i} \ln p_{i}$). More precisely, we present stochastic dynamical mechanisms which mimic probability density functions empirically observed. These mechanisms provide possible interpretations for the emergence of the entropic indices $q$ in the time evolution of the corresponding observables. In addition to this, through multi-fractal analysis of return time series, we verify that the dual relation $q_{stat}+q_{sens}=2$ is numerically satisfied, $q_{stat}$ and $q_{sens}$ being associated to the probability density function and to the sensitivity to initial conditions respectively. This type of simple relation, whose understanding remains ellusive, has been empirically verified in various other systems.Comment: Invited paper to appear in special issue of Eur. Phys. J. B dedicated to econophysics, edited by T. Di Matteo and T. Aste. 7 page

On the distribution of high-frequency stock market traded volume: a dynamical scenario

This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture, physically connected to superstatiscs, which is intimately related with the current nonextensive statistical mechanics framework, is based on the idea of local fluctuations in the mean traded volume associated to financial markets agents herding behaviour. The corroboration of this mesoscopic model is done by modelising NASDAQ 1 and 2 minute stock market traded volume

Psychophysiological assessment of stress under ecological settings: A systematic review

Stress can negatively impact one’s health and well-being, however despite the recent evolution in stress assessment research methodologies, little agreement still exist about stress conceptualization and assessment. In an attempt to summarize and reflect on this evolution this paper aimed to systematically review research evidence of ecological approaches on psycho-physiological stress assessment. Thus, a literature search of electronic databases was conducted spanning 22 years (1990 – 2012) and 55 studies were reviewed. Studies were considered for inclusion if they contemplated both psychological and physiological measures of stress under ecological settings. This review focused on five themes: methodologies terminology; research population; study design; measurement and technology. Findings support the need to use a common methodology terminology in order to increase scientific rigor. Additionally, there seems to be an increasing tendency for the use of these methods by multidisciplinary teams among both clinical and non-clinical populations aiming to understand the relationship between stress and disease. Most of the studies reviewed contemplated a time-based protocol and different conceptualizations of stress were found resulting in the use of different subjective measures. Findings reinforce the importance of combining subjective and objective measures while also controlling for possible time or situation dependent confounders. Advances in technology were evident and different assessment techniques were found. The benefits and challenges of ecological protocols to assess stress are discussed and recommendations for future research are provided, aiming to overcome previous limitations and advance scientific knowledge in the area