Apparent scaling (Q5942935)
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scientific article; zbMATH DE number 1646511
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Apparent scaling |
scientific article; zbMATH DE number 1646511 |
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Apparent scaling (English)
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16 September 2001
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A review of properties of normal inverse Gaussian law is given. The process \(z(t)\) with stationary independent increments for which \(z(1)\) has normal inverse Gaussian distribution is considered. The absolute first moment, the second order cumulant and skewness for such a process are studied. The application of the process \(z(t)\) as a model for a financial asset is discussed.
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Lévy process
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shape triangle
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normal inverse Gaussian distribution
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scaling power laws
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high-frequency data in finance
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