Conveners
Applied Statistical Physics
- Tomáš Hobza (FJFI CVUT)
One-dimensional partice hopping with constrained variance is a well known model of Brownian motion and therefore the traditional particle diffusion. Model analysis is possible using the Central Limit Theorem (CLT) which produces Einstein formula. Another strategies of heavy tile hopping with discrete Pareto distribution can be studied by the Generalized CLT (GCLT). Doing the same using only...
We investigate which distribution is most appropriate for modeling returns of cryptocurrencies. We study distribution of both unconditional returns and conditional returns. Four well-known heavy-tailed distributions Generalized Normal, Student t-, Normal Inverse Gaussian, Alpha stable and two recently suggested distributions and four GARCH models plain GARCH, range GARCH, TGARCH and EGARCH are...
