Truncated Lévy walks and an emerging market economic index

DOI10.1016/S0378-4371(01)00233-3zbMath0969.91506MaRDI QIDQ5940062

R. Riera, L. C. Miranda

Publication date: 25 July 2001

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

zbMATH Keywords

long-term convergenceshare price index time evolutionshort term large fluctuations

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (11)

Autocorrelation as a source of truncated Lévy flights in foreign exchange rates ⋮ A stochastic-statistical residential burglary model with independent Poisson clocks ⋮ Investigation of non-Gaussian effects in the Brazilian option market ⋮ Random-order fractional differential equation models ⋮ On the origins of truncated Lévy flights ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Long-range correlations and nonstationarity in the Brazilian stock market ⋮ A Stochastic-Statistical Residential Burglary Model with Finite Size Effects ⋮ Crime modeling with truncated Lévy flights for residential burglary models ⋮ International finance, Lévy distributions, and the econophysics of exchange rates ⋮ Jump diffusion models and the evolution of financial prices

Cites Work

• Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Fractal dimensionality of Lévy processes
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• The Mathematics of Financial Derivatives

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