Universal L\'evy's stable law of stock market and its characterization

Takumi Fukunaga and Ken Umeno

Papers from arXiv.org

Abstract: Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long term, they similarly indicated an unique value. On the other hand, when analyzed in short term, parameters and the stock prices fluctuated with correlation, which shows that the stock markets are instable.

Date: 2017-09, Revised 2018-02
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1709.06279 Latest version (application/pdf)

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:arx:papers:1709.06279

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().