Relaxation Times for Nonextensive Systems Using Gradient Flow for the Maximization of Tsallis Entropy: An Application to Financial Market Dynamics (opens in new tab)

In this work, we develop a method to estimate the relaxation time (the time required to reach equilibrium) of a nonextensive system such as financial market dynamics, using a Euclidean Gradient Flow (EGF) framework for the maximization of Tsallis entropy. The equilibrium state is defined as the maximum-entropy state. Specifically, the dynamics are expressed in terms of the time variations of the q-Gaussian parameters -- the entropic index q and ...