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Origins of the scaling behaviour in the dynamics of financial data

  • Aleksander Weron
  • Szymon Mercik
  • Rafal Weron

The Conditionally Exponential Decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated for daily returns of the Dow Jones Industrial Average (DJIA) and the Standard & Poor’s 500 (S&P500) indices as well as for high frequency returns of the USD/DEM exchange rate.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_98_01.pdf
File Function: Final version, 1998
Download Restriction: no

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/98/01.

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Length: 10 pages
Date of creation: 1998
Date of revision:
Publication status: Published in Physica A 264 (1999) 562-569.
Handle: RePEc:wuu:wpaper:hsc9801
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  1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
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