Apparent scaling

被引：3

作者：

Ole E. Barndorff-Nielsen

Karsten Prause

机构：

[1] MaPhySto – Centre for Mathematical Physics and Stochastics University of Aarhus,

[2] Ny Munkegade,undefined

[3] DK–8000 Aarhus C,undefined

[4] Denmark (e-mail: oebn@imf.au.dk),undefined

[5] Mathematische Stochastik,undefined

[6] FDM,undefined

[7] Universität Freiburg,undefined

[8] Eckerstraße 1,undefined

[9] D–79104 Freiburg,undefined

[10] Germany (e-mail: prause@stochastik.uni-freiburg.de),undefined

来源：

Finance and Stochastics | 2001年 / 5卷 / 1期

关键词：

Key words:NIG Lévy processes, NIG shape triangle, normal inverse Gaussian distribution, scaling power laws, high-frequency data in finance; JEL Classification: C51, C52, G10, G14; Mathematics Subject Classification (1991): 60K60;

D O I：

10.1007/s007800000020

中图分类号：

学科分类号：

摘要：

A number of authors have reported empirically observed scaling laws of the absolute values of log returns of stocks and exchange rates, with a scaling coefficient in the order of 0.58–0.59. It is suggested here that this phenomenon is largely due to the semi-heavy tailedness of the distributions concerned rather than to real scaling.

引用

页码：103 / 113

页数：10