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
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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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