The Lévy sections theorem: An application to econophysics

A. Figueiredo, R. Matsushita, S. daSilva, M. Serva, G.M. Viswanathan, C. Nascimento and Iram Gleria

Physica A: Statistical Mechanics and its Applications, 2007, vol. 386, issue 2, 756-759

Abstract: We employ the Lévy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.

Keywords: Econophysics; Exchange rates; Lévy sections theorem (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437107009478
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:386:y:2007:i:2:p:756-759

DOI: 10.1016/j.physa.2007.08.042

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().