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On the origins of truncated Lévy flights

  • 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)

No abstract is available for this item.

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File URL: http://econwpa.repec.org/eps/fin/papers/0404/0404013.pdf
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Paper provided by EconWPA in its series Finance with number 0404013.

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Date of creation: 23 Apr 2004
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Handle: RePEc:wpa:wuwpfi:0404013
Note: Type of Document - pdf
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  1. Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
  2. 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.
  3. 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.
  4. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  5. 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.
  6. 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.
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