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.

引用

页数：7

共 44 条

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