Volume 52, Number 5, December I 2000
|Page(s)||491 - 497|
|Published online||01 September 2002|
Scale-invariant truncated Lévy process
Center for Polymer Studies and Department of Physics,
Boston University Boston, MA 02215, USA
2 Department of Physics, Faculty of Sciences, University of Zagreb - Zagreb, Croatia
3 Cardiovascular Division, Harvard Medical School, Beth Israel Hospital Boston, MA 02215, USA
Accepted: 2 October 2000
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 distribution, and hence shows scaling properties as commonly 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.
PACS: 02.50.Ey – Stochastic processes / 05.40.Fb – Random walks and Levy flights / 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion
© EDP Sciences, 2000
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