Scale-invariant Truncated Lévy Process

Preprint

26 June 1999

preprint
Published by arXiv in arXiv

Abstract

We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage that all moments are finite (and so accounts for the empirical scaling of the moments). To test the potential utility of the STL process, we analyze financial data.

Keywords

SCALE INVARIANT TRUNCATED
DEVELOP A SCALE
TRUNCATED L
VY PROCESS
STOCHASTIC
CORRELATED
EVY

All Related Versions

Version 1, 1999-06-26, ArXiv
Version 2, 1999-06-29, ArXiv
Published version: Europhysics Letters, 52 (5), 491.

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