On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value

H. F. Coronel-Brizio and A. R. Hernandez-Montoya
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H. F. Coronel-Brizio: Facultad de Fisica e Inteligencia Artificial, Universidad Veracruzana, Xalapa Veracruz, Mexico.
A. R. Hernandez-Montoya: Facultad de Fisica e Inteligencia Artificial, Universidad Veracruzana, Xalapa Veracruz, Mexico.

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Abstract: The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for gamma

Date: 2004-11
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Published in Physica A 354 (2005) 437-449 (updated version)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0411161

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