On the origins of truncated Lévy flights
No abstract is available for this item.
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.:
- Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
- 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.
- Sergio Da Silva, 2004. "Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates," Finance 0405018, EconWPA.
- Andrew W. Lo & A. Craig MacKinlay, 1987.
"Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test,"
NBER Working Papers
2168, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0404013. 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: (EconWPA)
If references are entirely missing, you can add them using this form.