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On the origins of truncated Lévy flights

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Author Info

  • Annibal Figueiredo

    (University of Brasilia)

  • Iram Gleria

    (Federal University of Alagoas)

  • Raul Matsushita

    (University of Brasilia)

  • Sergio Da Silva

    (Federal University of Rio Grande Do Sul)

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File URL: http://128.118.178.162/eps/fin/papers/0404/0404013.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0404013.

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Date of creation: 23 Apr 2004
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Handle: RePEc:wpa:wuwpfi:0404013

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Web page: http://128.118.178.162

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  1. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2003. "Fractal structure in the Chinese yuan/US dollar rate," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-13.
  2. Sergio Da Silva, 2004. "Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates," Finance 0405018, EconWPA.
  3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  4. Stanley, H.E. & Amaral, L.A.N. & Gabaix, X. & Gopikrishnan, P. & Plerou, V., 2001. "Similarities and differences between physics and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 1-15.
  5. Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
  6. Sergio Da Silva & Raul Matsushita & Iram Gleria, 2002. "Scaling power laws in the Sao Paulo Stock Exchange," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-12.
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