Microscopic origin of non-Gaussian distributions of financial returns

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 7, 2008, Pages 1603-1612

  Biro T S ^a   Rosenfeld, R ^b  

^a WIGNER RESEARCH CENTRE FOR PHYSICS   (Hungary)

^b SÃO PAULO STATE UNIVERSITY UNESP   (Brazil)

Author keywords

Born Oppenheimer approximation; Power law distribution of returns; Stochastic volatility

Indexed keywords

COST EFFECTIVENESS; PARAMETER ESTIMATION; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES; STOCHASTIC MODELS;

BORN OPPENHEIMER APPROXIMATION; EQUILIBRIUM DISTRIBUTION; POWER LAW DISTRIBUTION; STOCHASTIC VOLATILITY;

GAUSSIAN DISTRIBUTION;

EID: 37349089091     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.10.067     Document Type: Article

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