Generalized entropy approach to stable Lévy distributions with financial application

DOI10.1016/S0378-4371(02)01451-6zbMath1008.60069OpenAlexW2054740662MaRDI QIDQ1855539

Ikuo Matsuba, Hiroshi Takahashi

Publication date: 5 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01451-6

zbMATH Keywords

Hurst exponentTsallis entropyscaling index

Mathematics Subject Classification ID

Foundations of equilibrium statistical mechanics (82B03) Stable stochastic processes (60G52)

Related Items (2)

STOCHASTICALLY EQUIVALENT DYNAMICAL SYSTEM APPROACH TO NONLINEAR DETERMINISTIC PREDICTION ⋮ On the origins of truncated Lévy flights

Uses Software

• longmemo

Cites Work

• Long-range dependence in the conditional variance of stock returns
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
• Portfolio Analysis in a Stable Paretian Market
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