Bypassing the truncation problem of truncated Lévy flights

DOI10.1016/J.PHYSA.2020.125035OpenAlexW3047214821MaRDI QIDQ2141866

Raul Matsushita, Sergio Da Silva, Regina Da Fonseca, Mateus Nagata

Publication date: 25 May 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125035

zbMATH Keywords

power lawseconophysicsfinancial datatruncated Lévy flights

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

The duration of historical pandemics ⋮ Retrodicting with the truncated Lévy flight

Cites Work

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• On the origins of truncated Lévy flights
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• Multivariate T-Distributions and Their Applications
• Mixture of extreme-value distributions: identifiability and estimation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Introduction to Econophysics

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