The origin of fat-tailed distributions in financial time series
From MaRDI portal
Publication:1409108
DOI10.1016/S0378-4371(03)00608-3zbMath1056.91057arXivcond-mat/0112484MaRDI QIDQ1409108
G. M. Viswanathan, U. L. Fulco, Maurizio Serva, Marcelo L. Lyra
Publication date: 5 October 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0112484
91B84: Economic time series analysis
Related Items
Jump diffusion models and the evolution of financial prices, A generalized error distribution copula-based method for portfolios risk assessment, Diffusion equations and the time evolution of foreign exchange rates
Cites Work
- Fractional integration analysis of long-run behavior for US macroeconomic time series
- Multiscale behaviour of volatility autocorrelations in a financial market
- Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
- Long-Term Memory in Stock Market Prices
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics
- ABSENCE OF 1/f SPECTRA IN DOW JONES DAILY AVERAGE
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Introduction to Econophysics
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
