On the origins of truncated Lévy flights

DOI10.1016/S0375-9601(03)00976-9MaRDI QIDQ1399052zbMATH OpenOpenAlexWikidataFDO

Authors A. Figueiredo, Raul Matsushita, Sergio Da Silva, I. M. Gléria

Publication date 10 August 2003

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0375-9601(03)00976-9

zbMATH Keywords

autocorrelationconvergencescaling power laws

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

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Cites work

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• Introduction to Econophysics
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• Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Truncated Lévy walks and an emerging market economic index

Cited in

(13)

• Lévy flight approximations for scaled transformations of random walks
• Exponentially damped Lévy flights
• Tsallis statistics and gradually truncated Lévy flight - distribution of an economical index
• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• Retrodicting with the truncated Lévy flight
• Bypassing the truncation problem of truncated Lévy flights
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• scientific article; zbMATH DE number 806776 (Why is no real title available?)
• Are Lévy flights multiscale?
• Truncated Lévy walks and an emerging market economic index
• Truncated Lévy process with scale-invariant behavior
• Truncated Lévy flights and generalized Cauchy processes
• Jump diffusion models and the evolution of financial prices

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