Autocorrelation as a source of truncated Lévy flights in foreign exchange rates

DOI10.1016/S0378-4371(03)00029-3zbMath1072.91601OpenAlexW2144435931MaRDI QIDQ1873904

Sergio Da Silva, Raul Matsushita, Annibal Figueiredo, Iram M. Gléria

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00029-3

zbMATH Keywords

convergencescaling power lawsreturn probability

Mathematics Subject Classification ID

Trade models (91B60) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Exponentially damped Lévy flights ⋮ On the origins of truncated Lévy flights ⋮ Continuous Markovian model for Lévy random walks with superdiffusive and superballistic regimes ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Autocorrelation and the sum of stochastic variables ⋮ International finance, Lévy distributions, and the econophysics of exchange rates ⋮ Jump diffusion models and the evolution of financial prices ⋮ Diffusion equations and the time evolution of foreign exchange rates

Cites Work

• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Introduction to Econophysics
• Truncated Lévy walks and an emerging market economic index

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