Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets

Iram Gleria, Annibal Figueiredo, Raul Matsushita, Pushpa Rathie and Sergio Da Silva

Physica A: Statistical Mechanics and its Applications, 2004, vol. 342, issue 1, 200-206

Abstract: We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence [2] in data coming from the S&P500 index. We also employ our suggested exponentially damped Lévy flight [3] to assess the multiscaling properties in the data.

Keywords: Lévy distributions; Econophysics; Multiscaling (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:342:y:2004:i:1:p:200-206

DOI: 10.1016/j.physa.2004.04.079

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