Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
✍ Scribed by Annibal Figueiredo; Iram Gleria; Raul Matsushita; Sergio Da Silva
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 661 KB
- Volume
- 323
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
✦ Synopsis
We suggest that the ultraslow speed of convergence associated with truncated LÃ evy ights (Phys. Rev. Lett. 73 (1994Lett. 73 ( ) 2946) ) may well be explained by autocorrelations in data. We show how a particular type of autocorrelation generates power laws consistent with a truncated LÃ evy ight. Stock exchanges have been suggested to be modeled by a truncated LÃ evy ight (Nature 376 (1995) 46; Physica A 297 (2001) 509; Econom. Bull. 7 (2002) 1). Here foreign exchange rate data are taken instead. Scaling power laws in the "probability of return to the origin" are shown to emerge for most currencies. A novel approach to measure how distant a process is from a Gaussian regime is presented.