Truncated Lévy process with scale-invariant behavior

DOI10.1016/S0378-4371(01)00290-4zbMath0984.60057OpenAlexW1968879815WikidataQ57194539 ScholiaQ57194539MaRDI QIDQ5947874

Plamen C. Ivanov, Youngki Lee, Boris Podobnik, H. Eugene Stanley

Publication date: 23 October 2001

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(01)00290-4

zbMATH Keywords

correlated stochastic variablesfinite momentsLevy stability

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Related Items (7)

Application of computational statistical physics to scale invariance and universality in economic phenomena ⋮ Pricing foreign equity option with stochastic volatility ⋮ Pricing turbo warrants under mixed-exponential jump diffusion model ⋮ Empirical scaling laws and the aggregation of non-stationary data ⋮ Economic fluctuations and statistical physics: the puzzle of large fluctuations ⋮ Similarities and differences between physics and economics ⋮ Statistical physics and economic fluctuations: do outliers exist?

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Unnamed Item

This page was built for publication: Truncated Lévy process with scale-invariant behavior