Scaling in stock market data: stable laws and beyond
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications to market data we indicate the shortcomings of such models and describe the truncated Levy flight as an alternative model for price movements. Furthermore, studying the dependence structure of the price increments shows that while their autocorrelation function decreases rapidly to zero, the correlation of their squares and absolute values shows a slow power law decay, indicating persistence in the scale of fluctuations, a property which can be related to the anomalous scaling of the kurtosis. In the last section we review, in the light of these empirical facts, recent attempts to draw analogies between scaling in financial markets and in turbulent flows.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||May 1997|
|Date of revision:|
|Publication status:||Published in `Scale Invariance and Beyond' (proceedings of the CNRS Workshop on Scale Invariance, Les Houches, March 1997) EDP-Springer|
|Contact details of provider:|| Postal: |
Web page: http://www.science-finance.fr/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sfi:sfiwpa:9705087. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marc Potters)
If references are entirely missing, you can add them using this form.