Biró, T.S.; Rosenfeld, R. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 7, pp. 1603-1612
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these...