Truncated Lévy process with scale-invariant behavior

We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage that all moments are finite (and so accounts for the empirical scaling of the moments). To test the potential utility of the STL process, we analyze financial data.

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Year of publication:	2001
Authors:	Ivanov, Plamen Ch. ; Podobnik, Boris ; Lee, Youngki ; Stanley, H. Eugene
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 299.2001, 1, p. 154-160
Publisher:	Elsevier
Subject:	Stochastic processes \| Lévy flights \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010873832