Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets
We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence  in data coming from the S&P500 index. We also employ our suggested exponentially damped Lévy flight  to assess the multiscaling properties in the data.
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- Sergio Da Silva, 2004.
"Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates,"
- 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.
- Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2003.
"Exponentially damped Lévy flights,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 326(3), pages 544-555.
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