On the origins of truncated Lévy flights
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0404013.
Date of creation: 23 Apr 2004
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- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-25 (All new papers)
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- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2003.
"Autocorrelation as a source of truncated Lévy flights in foreign exchange rates,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 323(C), pages 601-625.
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NBER Working Papers
2168, National Bureau of Economic Research, Inc.
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- Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
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