Heavy-tail driven by memory

Economy – Quantitative Finance – Statistical Finance

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

This paper was withdrawn because of the change in authorship. The work is replaced by the new one with considerable improvemen

Scientific paper

We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is analytically derived from the continuum limit of the discrete binary process with the renormalized auto-correlation and the closed form moment generating function is obtained, thus the cumulants are calculated and shown to be convergent. The other class of distributions are numerically investigated. The concoction of the two stochastic processes of the different signs of memory under regime switching mechanism does incarnate power-law decay behavior, which strongly implies that memory is the alternative origin of heavy-tail.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Heavy-tail driven by memory does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Heavy-tail driven by memory, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Heavy-tail driven by memory will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-343988

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.