Stochastic processes with power-law stability and a crossover in power-law correlations

DOI10.1016/S0378-4371(02)01023-3zbMath1001.91046OpenAlexW1975215206WikidataQ57194529 ScholiaQ57194529MaRDI QIDQ1847436

Ivo Grosse, Boris Podobnik, H. Eugene Stanley

Publication date: 26 November 2002

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01023-3

zbMATH Keywords

statistical propertiesfinancial fluctuation dynamics

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Related Items (1)

Modeling and complexity of stochastic interacting Lévy type financial price dynamics

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Varieties of long memory models
• Stable Infinite Variance Fluctuations in Randomly Amplified Langevin Systems
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

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