Stock market context of the Lévy walks with varying velocity

DOI10.1016/S0378-4371(02)01058-0zbMath1001.91031MaRDI QIDQ1850401

Ryszard Kutner

Publication date: 3 December 2002

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

zbMATH Keywords

Hurst exponentkurtosis power-law behaviornon-Brownian random walk

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (3)

Multi-phase Long-Term Autocorrelated Diffusion: Stationary Continuous-Time Weierstrass Walk Versus Flight ⋮ The effects of fractional order on a 3-D quadratic autonomous system with four-wing attractor ⋮ Large time asymptotic of heavy tailed renewal processes

Cites Work

• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools
• LÉVY FLIGHTS: CHAOTIC, TURBULENT, AND RELATIVISTIC
• FRACTAL DESCRIPTION OF ANOMALOUS DIFFUSION IN DYNAMICAL SYSTEMS
• Complexity
• Introduction to Econophysics
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