Title of article :
Truncated Lévy process with scale-invariant behavior
Author/Authors :
Plamen Ch. Ivanov، نويسنده , , Boris Podobnik، نويسنده , , Youngki Lee، نويسنده , , H. Eugene Stanley، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy 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.
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications