Bypassing the truncation problem of truncated Lévy flights

Raul Matsushita, Sergio Da Silva, Regina Da Fonseca and Mateus Nagata

Physica A: Statistical Mechanics and its Applications, 2020, vol. 559, issue C

Abstract: We suggest a solution to the problem of truncation of truncated Lévy 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.

Keywords: Truncated Lévy flights; Power laws; Financial data; Econophysics (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305392

DOI: 10.1016/j.physa.2020.125035

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