Scale-invariant Truncated Lévy Process

Details Scale-invariant Truncated Lévy Process Scale-invariant Truncated Lévy Process

1999-06-25

arxiv.org/abs/cond-mat/9906381v2

Physics

Condensed Matter

Statistical Mechanics

4 pages, 6 figures; corrected typos; changed figure 3

Scientific paper

10.1209/epl/i2000-00464-8

We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling properties (as 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.

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