Exponentially damped Lévy flights

Matsushita, Raul; Rathie, Pushpa N.; Silva, Sergio Da

doi:10.1016/s0378-4371(03)00363-7

Cited by 32 publications

(22 citation statements)

References 10 publications

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“…While the abruptly truncated Lévy flight (the TLF itself) exhibits mere single scaling, the STLF shows multiscaling [78,82]. When employing the abruptly TLF [74] to fit the exchange rate data we have realized that such data set might be fitted by an EDLF as well [81]. That is interesting because we can focus on the exchange-rate multiscaling properties stemming from the EDLF.…”

Section: Lévy Distributionsmentioning

confidence: 97%

“…We have ourselves put forward what we call an exponentially damped Lévy flight (EDLF) [81], in which the gradually truncated Lévy is modified and then combined with the smoothly truncated one. In the presence of increasing and positive feedbacks, our distribution smoothly and gradually deviates from the Lévy.…”

Section: Lévy Distributionsmentioning

confidence: 99%

“…For that very reason we have suggested [81] the broader formulation for f(Z ∆t ) dubbed EDLF. The EDLF encompasses the previous TLF, STLF, and GTLF.…”

Section: Let Us Define a Modified Lévy Flight (Mlfmentioning

confidence: 99%

See 2 more Smart Citations

International finance, Lévy distributions, and the econophysics of exchange rates

Silva

Matsushita

Gleria

et al. 2005

Communications in Nonlinear Science and Numerical Simulation

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Section: Lévy Distributionsmentioning

confidence: 97%

Section: Lévy Distributionsmentioning

confidence: 99%

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International finance, Lévy distributions, and the econophysics of exchange rates

Silva

Matsushita

Gleria

et al. 2005

Communications in Nonlinear Science and Numerical Simulation

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“…Indeed, since the beginning of the 1990s, this specific issue generated a great number of econophysical studies developed specific statistical frameworks such as gradually truncation [16], exponentially truncation [17], and damped truncation [18] in order to capture the leptokurticity observed in the empirical distributions. Correlations and autocorrelations between economic/financial variables (i.e.…”

Section: The Original Econophysicsmentioning

confidence: 99%

1996–2016: Two decades of econophysics: Between methodological diversification and conceptual coherence

Schınckus

2016

Eur. Phys. J. Spec. Top.

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Abstract. This article aimed at presenting the scattered econophysics literature as a unified and coherent field through a specific lens imported from philosophy science. More precisely, I used the methodology developed by Imre Lakatos to cover the methodological evolution of econophysics over these last two decades. In this perspective, three co-existing approaches have been identified: statistical econophysics, bottom-up agent based econophysics and top-down agent based econophysics. Although the last is presented here as the last step of the methodological evolution of econophysics, it is worth mentioning that this tradition is still very new. A quick look on the econophysics literature shows that the vast majority of works in this field deal with a strictly statistical approach or a classical bottom-up agent-based modelling. In this context of diversification, the objective (and contribution) of this article is to emphasize the conceptual coherence of econophysics as a unique field of research. With this purpose, I used a theoretical framework coming from philosophy of science to characterize how econophysics evolved by combining a methodological enrichment with the preservation of its core conceptual statements.

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“…50 Abruptly truncated Lévy distribution (Jaroszewicz, Mariani, et al 2005); exponentially truncated Lévy distribution (Matsushita, Rathie, et al 2003); gradually truncated Lévy distribution (Gupta, et al 1999). On these normalization methods, see Vasconcelos (2004) or Gupta andCampanha (1999, 2002).…”

Section: Iii2 New Empirical Datamentioning

confidence: 99%