Bypassing the truncation problem of truncated Levy flights

被引：5
|
作者：
Matsushita, Raul [1 ,5 ]
Da Silva, Sergio [2 ]
Da Fonseca, Regina [3 ]
Nagata, Mateus [4 ]
机构：
[1] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil
[2] Univ Fed Santa Catarina, Dept Econ, BR-88040900 Florianopolis, SC, Brazil
[3] Fed Inst Goias, Dept Math, BR-74055110 Goiania, Go, Brazil
[4] Univ Brasilia, Dept Econ, BR-70910900 Brasilia, DF, Brazil
[5] Univ Brasilia, Grad Program Business Adm, BR-70910900 Brasilia, DF, Brazil
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 559卷
关键词：
Truncated Levy flights; Power laws; Financial data; Econophysics; CONVERGENCE; LAW;
D O I：
10.1016/j.physa.2020.125035
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We suggest a solution to the problem of truncation of truncated Levy flights by deductively finding a power law between the truncation length and its standard deviation. We offer a generalization where the pdf of returns is left unknown, and its distributional moments are allowed to vary in time. Our model fits well with a financial dataset, which exhibits extreme moves. (C) 2020 Elsevier B.V. All rights reserved.
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页数：7
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