scientific article; zbMATH DE number 5565446

zbMATH Open1170.91391MaRDI QIDQ3633075FDOQ3633075

Authors

Publication date 16 June 2009

Full work available at URL http://ajmaa.org/cgi-bin/paper.pl?string=v4n2/V4I2P13.tex

zbMATH Keywords

financial mathematicsfinancial indicesstock market pricesLévy flight

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Sums of independent random variables; random walks (60G50)

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Cited in

(5)

• Levy models and long correlations applied to the study of exchange traded funds
• scientific article; zbMATH DE number 7708008 (Why is no real title available?)
• Tsallis statistics and gradually truncated Lévy flight - distribution of an economical index
• Truncated Lévy walks and an emerging market economic index
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS

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