Analytical representation of stock and stock-indexes returns: Non-Gaussian random walks with various jump laws
Year of publication: |
2011
|
---|---|
Authors: | Romanovsky, M. Yu. ; Vidov, P.V. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 390.2011, 21, p. 3794-3805
|
Publisher: |
Elsevier |
Subject: | Random walks | Levy function | Truncated Levy distribution |
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