Ehrenfest Model with Large Jumps in Finance
AbstractChanges (returns) in stock index prices and exchange rates for currencies are argued, based on empirical data, to obey a stable distribution with characteristic exponent $ \alpha
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0311594.
Date of creation: Nov 2003
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Publication status: Published in Physica D 189 (2004) 61-69
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- Aoki,Masanao, 1998. "New Approaches to Macroeconomic Modeling," Cambridge Books, Cambridge University Press, number 9780521637695, October.
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