Exponentially damped Lévy flights, multiscaling, and exchange rates
AbstractWe employ our previously suggested exponentially damped Lévy flight (Physica A 326 (2003) 544) to study the multiscaling properties of 30 daily exchange rates against the US dollar together with a fictitious euro-dollar rate (Physica A 286 (2000) 353). Though multiscaling is not theoretically seen in either stable Lévy processes or abruptly truncated Lévy flights, it is even characteristic of smoothly truncated Lévy flights (Phys. Lett. A 266 (2000) 282; Eur. Phys. J. B 4 (1998) 143). We have already defined a class of “quasi-stable” processes in connection with the finding that single scaling is pervasive among the dollar price of foreign currencies (Physica A 323 (2003) 601). Here we show that the same goes as far as multiscaling is concerned. Our novel findings incidentally reinforce the case for real-world relevance of the Lévy flights for modeling financial prices.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 333 (2004)
Issue (Month): C ()
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Lévy distributions; Foreign exchange rates; Multiscaling;
Other versions of this item:
- Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates," Finance 0405027, EconWPA.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 323(C), pages 601-625.
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- Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.
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