Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets

We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence [2] in data coming from the S&P500 index. We also employ our suggested exponentially damped Lévy flight [3] to assess the multiscaling properties in the data.