Possible origin of the non-linear long-term autocorrelations within the Gaussian regime

DOI10.1016/J.PHYSA.2003.08.032zbMath1031.60034OpenAlexW2009432552MaRDI QIDQ1412905

Filip Świtała, Ryszard Kutner

Publication date: 30 November 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2003.08.032

zbMATH Keywords

Lévy walksWeierstrass walksdiffusion phase diagrams

Mathematics Subject Classification ID

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

Cites Work

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• An introduction to statistical finance
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Similarities and differences between physics and economics
• Levels of complexity in financial markets
• Microscopic models for long ranged volatility correlations
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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