Origins of the scaling behaviour in the dynamics of financial data
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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| 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 |
| Contact details of provider: | Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw Phone: +48-71-3203530 Fax: +48-71-3202654 Web page: http://prac.im.pwr.wroc.pl/~hugo Email: More information through EDIRC
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References listed on IDEAS
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- 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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