On the origins of truncated Levy flights

被引：10

作者：

Figueiredo, A

Gleria, I

Matsushita, R

Da Silva, S ^{[1
]}

机构：

[1] Univ Fed Rio Grande do Sul, Dept Econ, BR-90040000 Porto Alegre, RS, Brazil

[2] Univ Brasilia, Dept Phys, BR-70910900 Brasilia, DF, Brazil

[3] Univ Fed Alagoas, Dept Phys, BR-57072970 Maceio AL, Brazil

[4] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil

来源：

PHYSICS LETTERS A | 2003年 / 315卷 / 1-2期

关键词：

truncated Levy flights; foreign exchange rates; autocorrelation; Lorentzian distribution;

D O I：

10.1016/S0375-9601(03)00976-9

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We show that truncated Levy flights appear due to the presence of particular features of autocorrelation in data. We present and analyze 'physical' reasons sufficient to ensure the scaling power laws and sluggish convergence associated with truncated Levy flights. Our approach is exemplified with currency data for the British pound and Chinese yuan against the US dollar. We further compare these examples with a simulated Lorentzian distribution. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：51 / 60

页数：10

共 18 条

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Bachelier L., 1900, ANN SCI ECOLE NORM S, V17, P21

[2] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J].