Weron, Aleksander; Mercik, Szymon; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 1998
The Conditionally Exponential Decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated...