• Title of article

    Scaling of Lévy–Student processes

  • Author/Authors

    Oliver Grothe، نويسنده , , Rafael Schmidt، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2010
  • Pages
    9
  • From page
    1455
  • To page
    1463
  • Abstract
    Student’s t-distributions are widely used in financial studies as heavy-tailed alternatives to normal distributions. As these distributions are not closed under convolution, there exist no Lévy processes with Student’s t-marginals at all points in time. In this article we show that a Student’s t-approximation of these marginals is still suitable, while not exact. Using this approximation, we are able to describe the scaling behavior of such Lévy–Student processes and the parameters of its marginal distributions by a simple analytical scaling law. This scaling law drastically simplifies the use of Lévy–Student processes as a general diffusion process in various interdisciplinary applications. We explicitly provide an application in the context of modelling high-frequency price returns.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2010
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    873573