Cumulant Approach of Arbitrary Truncated Levy Flight

Details Cumulant Approach of Arbitrary Truncated Levy Flight Cumulant Approach of Arbitrary Truncated Levy Flight

2010-06-12

arxiv.org/abs/1006.2489v5

Physica A 389 (2010) 5794-5800

Economy

Quantitative Finance

Statistical Finance

9 pages

Scientific paper

10.1016/j.physa.2010.09.014

The problem of an arbitrary truncated Levy flight description using the
method of cumulant approach has been solved. The set of cumulants of the
truncated Levy distribution given the assumption of arbitrary truncation has
been found. The influence of truncation shape on the truncated Levy flight
properties in the Gaussian and the Levy regimes has been investigated.

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