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  • Search: subject:"Renormalization Group"
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Year of publication
Subject
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Hyperbolic Distributions 1 Renormalization Group 1 Student Processes 1 Stylized Facts 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Challet, Damien 1 Peirano, Pier Paolo 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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The ups and downs of the renormalization group applied to financial time series
Challet, Damien; Peirano, Pier Paolo - Volkswirtschaftliche Fakultät, … - 2008
Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently devised a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Levy...
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