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On the origins of truncated Lévy flights

Author

Listed:
  • 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)

Abstract

No abstract is available for this item.

Suggested Citation

  • Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance 0404013, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0404013
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    References listed on IDEAS

    as
    1. 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.
    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    3. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
    4. repec:ebl:ecbull:v:7:y:2002:i:3:p:1-12 is not listed on IDEAS
    5. 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.
    6. 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.
    7. Matsuba, Ikuo & Takahashi, Hiroshi, 2003. "Generalized entropy approach to stable Lèvy distributions with financial application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 458-468.
    8. Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
    9. 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.
    10. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Nonidentically distributed variables and nonlinear autocorrelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 171-180.

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