Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
From MaRDI portal
Publication:4492201
DOI10.1103/PhysRevLett.73.2946zbMath1020.82610OpenAlexW2048421273WikidataQ74552743 ScholiaQ74552743MaRDI QIDQ4492201
H. Eugene Stanley, Rosario Nunzio Mantegna
Publication date: 16 July 2000
Published in: Physical Review Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1103/physrevlett.73.2946
Related Items (only showing first 100 items - show all)
ECONOPHYSICS: WHAT CAN PHYSICISTS CONTRIBUTE TO ECONOMICS? ⋮ OPTION PRICING FOR TRUNCATED LÉVY PROCESSES ⋮ A Reciprocal Formulation of Nonexponential Radiative Transfer. 2: Monte Carlo Estimation and Diffusion Approximation ⋮ Heat kernels for reflected diffusions with jumps on inner uniform domains ⋮ Trading volume in models of financial derivatives ⋮ A stochastic-statistical residential burglary model with independent Poisson clocks ⋮ First passage time moments of asymmetric Lévy flights ⋮ Solving Portfolio Optimization Problems Using MOEA/D and Lévy Flight ⋮ Convolution equivalence and infinite divisibility ⋮ A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES ⋮ Tempered fractional differential equation: variational approach ⋮ Analytical and numerical investigation on the tempered time-fractional operator with application to the Bloch equation and the two-layered problem ⋮ Analysis of the Lévy Flight Foraging Hypothesis in \(\mathbb{R}^{n}\) and Unreliability of the Most Rewarding Strategies ⋮ Regularity of semigroups for exponentially tempered stable processes with drift ⋮ Truncated Lévy flights and generalized Cauchy processes ⋮ A return-to-home model with commuting people and workers ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Anisotropic Nonlocal Diffusion Operators for Normal and Anomalous Dynamics ⋮ Multivariate exponential power Lévy processes and random fields ⋮ Analytic solution to space-fractional Fokker–Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift ⋮ Reaction Spreading in Systems With Anomalous Diffusion ⋮ Models of asset returns: changes of pattern from high to low event frequency ⋮ A Stochastic-Statistical Residential Burglary Model with Finite Size Effects ⋮ A Langevin dynamics approach to the distribution of animal move lengths ⋮ Crime modeling with truncated Lévy flights for residential burglary models ⋮ Sample Path Large Deviations for Order Statistics ⋮ Spatial asymptotics at infinity for heat kernels of integro-differential operators ⋮ Boundary Problems for the Fractional and Tempered Fractional Operators ⋮ Transient anomalous sub-diffusion on bounded domains ⋮ Deterministic implied volatility models ⋮ The correlation dimension of returns with stochastic volatility ⋮ PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES ⋮ Multidimensional mutations in evolutionary algorithms based on real-valued representation ⋮ AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ ⋮ NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY ⋮ On the approximate controllability for fractional evolution hemivariational inequalities ⋮ Truncated Lévy walks and an emerging market economic index ⋮ Phenomenology of the term structure of interest rates with Padé approximants ⋮ Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions ⋮ Similarities and differences between physics and economics ⋮ Truncated Lévy process with scale-invariant behavior ⋮ Inertial ratchet driven by colored Lévy noise: current inversion and mass separation ⋮ Levy models and long correlations applied to the study of exchange traded funds ⋮ Tempered Fractional Model of Transient Current in Organic Semiconductor Layers ⋮ Random matrix models for datasets with fixed time horizons ⋮ Adaptive Wick--Malliavin Approximation to Nonlinear SPDEs with Discrete Random Variables ⋮ Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets ⋮ Numerical Methods for SPDEs with Tempered Stable Processes ⋮ Tempered Fractional Sturm--Liouville EigenProblems ⋮ Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach ⋮ Survival in two-species reaction-diffusion system with Lévy flights: renormalization group treatment and numerical simulations ⋮ Barrier options and touch-and-out options under regular Lévy processes of exponential type ⋮ On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes ⋮ Application of computational statistical physics to scale invariance and universality in economic phenomena ⋮ Autocorrelation as a source of truncated Lévy flights in foreign exchange rates ⋮ Trading strategies, feedback control and market dynamics ⋮ Understanding the determinants of volatility clustering in terms of stationary Markovian processes ⋮ Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system ⋮ Generalized Langevin equation with tempered memory kernel ⋮ New methods of simulating Lévy processes ⋮ Stochastic pursuit-evasion curves for foraging dynamics ⋮ High order schemes for the tempered fractional diffusion equations ⋮ Stickiness in the order parameter time-series as a signature of criticality ⋮ Bypassing the truncation problem of truncated Lévy flights ⋮ Effects of the tempered aging and the corresponding Fokker-Planck equation ⋮ Tempered stable Lévy motion and transient super-diffusion ⋮ Parameter Estimation for Exponentially Tempered Power Law Distributions ⋮ Subdiffusion and ergodicity breaking in heterogeneous environments subject to Lévy noise ⋮ Third order difference schemes (without using points outside of the domain) for one sided space tempered fractional partial differential equations ⋮ Superstatistics with cut-off tails for financial time series ⋮ Solving fractional Schrödinger-type spectral problems: Cauchy oscillator and Cauchy well ⋮ Lévy and Gauss statistics in the preparation of an earthquake ⋮ Tempered fractional calculus ⋮ Tempered fractional order compartment models and applications in biology ⋮ Multivariate elliptical truncated moments ⋮ An investigation on continuous time random walk model for bedload transport ⋮ Random integral representations for free-infinitely divisible and tempered stable distributions ⋮ Tempered stable Lévy motion driven by stable subordinator ⋮ Lévy flights in confining environments: random paths and their statistics ⋮ Crossover dynamics from superdiffusion to subdiffusion: models and solutions ⋮ Well-posedness of abstract distributed-order fractional diffusion equations ⋮ Two-dimensional Gegenbauer wavelets for the numerical solution of tempered fractional model of the nonlinear Klein-Gordon equation ⋮ Beyond monofractional kinetics ⋮ Tempering stable processes ⋮ Tempered relaxation with clustering patterns ⋮ Accounting for risk of non linear portfolios. A novel Fourier approach ⋮ Exponentially damped Lévy flights ⋮ Fronts in anomalous diffusion–reaction systems ⋮ On the origins of truncated Lévy flights ⋮ A reduced-order extrapolated finite difference iterative method for the Riemann-Liouville tempered fractional derivative equation ⋮ LÉVY-STABLE PRODUCTIVITY SHOCKS ⋮ Fractional reproduction-dispersal equations and heavy tail dispersal kernels ⋮ Return-to-home model for short-range human travel ⋮ Zipf-Mandelbrot scaling law for world track records ⋮ The origin of fat-tailed distributions in financial time series ⋮ Economic fluctuations and statistical physics: the puzzle of large fluctuations ⋮ FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS ⋮ Monitoring Lévy-process crossovers ⋮ Lévy flights in evolutionary ecology
Cites Work
This page was built for publication: Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight