On the origins of truncated Lévy flights

DOI10.1016/S0375-9601(03)00976-9zbMath1028.60043OpenAlexW2047646659WikidataQ56637087 ScholiaQ56637087MaRDI QIDQ1399052

Raul Matsushita, Sergio Da Silva, Annibal Figueiredo, Iram 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

convergencescaling power lawsautocorrelation

Mathematics Subject Classification ID

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

Related Items

Bypassing the truncation problem of truncated Lévy flights, Jump diffusion models and the evolution of financial prices, Retrodicting with the truncated Lévy flight

Cites Work

• Generalized entropy approach to stable Lévy distributions with financial application
• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
• Introduction to Econophysics
• Truncated Lévy walks and an emerging market economic index
• Similarities and differences between physics and economics