| Issue |
Europhys. Lett.
Volume 52, Number 5, December I 2000
|
|
|---|---|---|
| Page(s) | 491 - 497 | |
| Section | General | |
| DOI | https://doi.org/10.1209/epl/i2000-00464-8 | |
| Published online | 01 September 2002 | |
Scale-invariant truncated Lévy process
1
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
Received:
15
May
2000
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
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.