We employ our previously suggested exponentially damped LÃ evy ight (Physica A 326 (2003) 544) to study the multiscaling properties of 30 daily exchange rates against the US dollar together with a ÿctitious euro-dollar rate (Physica A 286 (2000) 353). Though multiscaling is not theoretically seen in
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Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets
✍ Scribed by Iram Gleria; Annibal Figueiredo; Raul Matsushita; Pushpa Rathie; Sergio Da Silva
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 253 KB
- Volume
- 342
- Category
- Article
- ISSN
- 0378-4371
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Previously we have put forward that the sluggish convergence of truncated LÃ evy ights to a Gaussian (Phys. Rev. Lett. 73 (1994Lett. 73 ( ) 2946) ) together with the scaling power laws in their probability of return to the origin (Nature 376 (1995) 46) can be explained by autocorrelation in data (Ph