Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets
AbstractWe have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence  in data coming from the S&P500 index. We also employ our suggested exponentially damped LÃ©vy flight  to assess the multiscaling properties in the data.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0405028.
Date of creation: 21 May 2004
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- Gleria, Iram & Figueiredo, Annibal & Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2004. "Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(1), pages 200-206.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-02 (All new papers)
- NEP-ETS-2004-05-26 (Econometric Time Series)
- NEP-FIN-2004-06-02 (Finance)
- NEP-FMK-2004-06-02 (Financial Markets)
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.:
- 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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- Sergio Da Silva, 2004.
"Exponentially Damped Levy Flights,"
- Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2003. "Exponentially damped Lévy flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 544-555.
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- da Silva, Roberto & Zembrzuski, Marcelo & Correa, Fabio C. & Lamb, Luis C., 2010. "Stock markets and criticality in the current economic crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5460-5467.
- Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
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