{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T18:44:25Z","timestamp":1792003465564,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":35,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Financial return distributions are well known for exhibiting fat-tailed, non-Gaussian behaviour and volatility clustering, features that conventional statistical models often fail to reproduce accurately. Existing applications of superstatistics in finance have largely been limited to single assets or aggregate indices, while to what extent superstatistical universality classes vary systematically across firms and industries remains largely unexplored to date. In this study, we applied superstatistics to the daily returns of 349 companies from S&amp;P500 spanning 11 sectors. We employed a hybrid parameter estimation approach that combines Maximum Likelihood Estimation (MLE) with Jensen\u2013Shannon (JS) divergence and used a combination of statistical tests and distance-based measures to assess the goodness of fit. Our study reveals that relatively stable and regulated sectors such as Utilities, Real Estate, Energy, and Financial Services are more frequently described by \u03c72-superstatistics, whereas innovation-driven sectors, particularly Technology and Health Care, are more often characterised by lognormal superstatistics. The fitted superstatistical parameters differ systematically across sectors. Utilities and Energy companies tend to have larger and more consistent shape parameter values, indicating relatively homogeneous volatility dynamics within these sectors. In contrast, Real Estate and Financial Services exhibit much greater variation in their parameter values, suggesting more diverse volatility behaviour across firms. These findings imply that sector membership influences both the type of superstatistical model and its parameters, indicating that risk models and portfolio strategies may benefit from incorporating sector-specific characteristics.<\/jats:p>","DOI":"10.2139\/ssrn.7611821","type":"posted-content","created":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T17:42:35Z","timestamp":1791999755000},"source":"Crossref","is-referenced-by-count":0,"title":["Superstatistical Modelling of S&amp;P 500 Stock Returns: Sector-Specific Empirical Analysis"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-9430-0336","authenticated-orcid":true,"given":"Deen","family":"Mohammad","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0003-4643-3303","authenticated-orcid":true,"given":"Shihan","family":"Miah","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"3","key":"ref1","article-title":"The pricing of options and corporate liabilities","volume":"81","author":"Fischer Black","year":"1973","journal-title":"Journal of Political Economy"},{"issue":"1","key":"ref2","first-page":"141","article-title":"Theory of rational option pricing","volume":"4","author":"C Robert","year":"1973","journal-title":"The Bell Journal of Economics and Management Science"},{"issue":"2","key":"ref3","doi-asserted-by":"crossref","first-page":"223","DOI":"10.1080\/713665670","article-title":"Empirical properties of asset returns: Stylized facts and statistical issues","volume":"1","author":"Rama Cont","year":"2001","journal-title":"Quantitative Finance"},{"issue":"1","key":"ref4","doi-asserted-by":"crossref","first-page":"34","DOI":"10.1086\/294743","article-title":"The behavior of stock-market prices","volume":"38","author":"Eugene F Fama","year":"1965","journal-title":"The Journal of Business"},{"issue":"4","key":"ref5","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1086\/294632","article-title":"The variation of certain speculative prices","volume":"36","author":"B Benoit","year":"1963","journal-title":"The Journal of Business"},{"key":"ref6","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1016\/S0378-4371(03)00019-0","volume":"322","author":"Christian Beck","year":"2003","journal-title":"Physica A: Statistical Mechanics and its Applications"},{"key":"ref7","first-page":"293","volume":"16","author":"C Beck","year":"2004","journal-title":"Superstatistics: theory and applications"},{"key":"ref8","article-title":"Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence","volume":"80","author":"Erik Van","year":"2009","journal-title":"Physical Review E"},{"key":"ref9","doi-asserted-by":"crossref","first-page":"326","DOI":"10.1016\/j.physa.2014.03.036","article-title":"Superstatistical fluctuations in time series of leverage returns","volume":"405","author":"Y A Katz","year":"2014","journal-title":"Physica A: Statistical Mechanics and its Applications"},{"issue":"2","key":"ref10","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1038\/s41560-017-0058-z","article-title":"Non-gaussian power grid frequency fluctuations characterized by l\u00e9vy-stable laws and superstatistics","volume":"3","author":"Benjamin Sch\u00e4fer","year":"2018","journal-title":"Nature Energy"},{"issue":"10","key":"ref11","first-page":"5494","article-title":"Extreme value statistics in superstatistical models","volume":"16","author":"Christian Beck","year":"2014","journal-title":"Entropy"},{"key":"ref12","article-title":"From time series to superstatistics","volume":"72","author":"Christian Beck","year":"2005","journal-title":"Phys. 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