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The Lévy sections theorem: An application to econophysics

✍ Scribed by A. Figueiredo; R. Matsushita; S. daSilva; M. Serva; G.M. Viswanathan; C. Nascimento; Iram Gleria

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
172 KB
Volume
386
Category
Article
ISSN
0378-4371

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✦ Synopsis

We employ the Le´vy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.

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