Analytical representation of stock and stock-indexes returns: Non-Gaussian random walks with various jump laws

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 21-22, 2011, Pages 3794-3805

  Romanovsky, M Yu ^a   Vidov, P V ^a  

^a PROKHOROV GENERAL PHYSICS INSTITUTE   (Russian Federation)

Author keywords

Levy function; Random walks; Truncated Levy distribution

Indexed keywords

INTERNATIONAL TRADE; STOCHASTIC SYSTEMS;

DISTRIBUTION LAW; INTERNATIONAL MARKETS; LEVY DISTRIBUTION; NATURAL GENERALIZATION; NON-GAUSSIAN RANDOMS; RANDOM WALK; RANDOM WALK PROCESS; SECOND MOMENTS;

RANDOM PROCESSES;

EID: 80055020003     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.06.011     Document Type: Article

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