Autocorrelation as a source of truncated Lévy flights in foreign exchange rates

DOI10.1016/S0378-4371(03)00029-3zbMath1072.91601OpenAlexW2144435931MaRDI QIDQ1873904

Sergio Da Silva, Raul Matsushita, Annibal Figueiredo, Iram M. Gléria

Publication date: 21 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00029-3

zbMATH Keywords

convergencescaling power lawsreturn probability

Mathematics Subject Classification ID

Trade models (91B60) Statistical methods; economic indices and measures (91B82)

Related Items

Exponentially damped Lévy flights, On the origins of truncated Lévy flights, Continuous Markovian model for Lévy random walks with superdiffusive and superballistic regimes, Modeling and simulation of financial returns under non-Gaussian distributions, Autocorrelation and the sum of stochastic variables, International finance, Lévy distributions, and the econophysics of exchange rates, Jump diffusion models and the evolution of financial prices, Diffusion equations and the time evolution of foreign exchange rates

Cites Work

• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Introduction to Econophysics
• Truncated Lévy walks and an emerging market economic index