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

被引:15
作者
Figueiredo, A
Gleria, I
Matsushita, R
Da Silva, S
机构
[1] Univ Fed Rio Grande Sul, Dept Econ, BR-90040000 Porto Alegre, RS, Brazil
[2] Univ Brasilia, Dept Phys, BR-70910900 Brasilia, DF, Brazil
[3] Fed Univ Alagoas, Dept Phys, BR-57072970 Maceio, AL, Brazil
[4] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil
关键词
truncated Levy flights; foreign exchange rate;
D O I
10.1016/S0378-4371(03)00029-3
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
We suggest that the ultraslow speed of convergence associated with truncated Levy flights (Phys. Rev. Lett. 73 (1994) 2946) may well be explained by autocorrelations in data. We show how a particular type of autocorrelation generates power laws consistent with a truncated Levy flight. Stock exchanges have been suggested to be modeled by a truncated Levy flight (Nature 376 (1995) 46; Physica A 297 (2001) 509; Econom. Bull. 7 (2002) 1). Here foreign exchange rate data are taken instead. Scaling power laws in the "probability of return to the origin" are shown to emerge for most currencies. A novel approach to measure how distant a process is from a Gaussian regime is presented. (C) 2003 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:601 / 625
页数:25
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