On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value

Details On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value

2004-11-06

arxiv.org/abs/cond-mat/0411161v1

Physica A 354 (2005) 437-449 (updated version)

Physics

Condensed Matter

Other Condensed Matter

Econophysics paper. 5 pages 9 figures

Scientific paper

10.1016/j.physa.2005.03.001

The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for gamma< x

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