A number of authors have reported empirically observed scaling laws of the absolute values of log returns of stocks and exchange rates, with a scaling coefficient in the order of 0.58-0.59. It is suggested here that this phenomenon is largely due to the semi-heavy tailedness of the distributions concerned rather than to real scaling.
Volume (Year): 5 (2001)
Issue (Month): 1 ()
|Note:||received: October 1999; final version received: February 2000|
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|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|