Truncated Lévy process with scale-invariant behavior

Plamen Ch. Ivanov, Boris Podobnik, Youngki Lee and H.Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 1, 154-160

Abstract: We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage that all moments are finite (and so accounts for the empirical scaling of the moments). To test the potential utility of the STL process, we analyze financial data.

Keywords: Stochastic processes; Lévy flights; Econophysics (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:1:p:154-160

DOI: 10.1016/S0378-4371(01)00290-4

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