Petroni, Filippo; Rotundo, Giulia - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3942-3948
Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We analyze the behavior of...