IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v275y2000i3p531-543.html
   My bibliography  Save this article

The gradually truncated Lévy flight: stochastic process for complex systems

Author

Listed:
  • Gupta, Hari M.
  • Campanha, José R.

Abstract

Power-law distributions, i.e. Lévy flights have been observed in various economical, biological, and physical systems in high-frequency regime. These distributions can be successfully explained via gradually truncated Lévy flight (GTLF). In general, these systems converge to a Gaussian distribution in the low-frequency regime. In the present work, we develop a model for the physical basis for the cut-off length in GTLF and its variation with respect to the time interval between successive observations. We observe that GTLF automatically approach a Gaussian distribution in the low-frequency regime. We applied the present method to analyze time series in some physical and financial systems. The agreement between the experimental results and theoretical curves is excellent. The present method can be applied to analyze time series in a variety of fields, which in turn provide a basis for the development of further microscopic models for the system.

Suggested Citation

  • Gupta, Hari M. & Campanha, José R., 2000. "The gradually truncated Lévy flight: stochastic process for complex systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 275(3), pages 531-543.
    • Handle: RePEc:eee:phsmap:v:275:y:2000:i:3:p:531-543
    DOI: 10.1016/S0378-4371(99)00367-2
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437199003672
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/S0378-4371(99)00367-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Matsushita, Raul & Gleria, Iram & Figueiredo, Annibal & Rathie, Pushpa & Da Silva, Sergio, 2004. "Exponentially damped Lévy flights, multiscaling, and exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 353-369.
    2. Liu, Lei & Hu, Fei, 2013. "Cascade-like and scaling behavior of wind velocity increments in the atmospheric surface layer," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5808-5816.
    3. Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2003. "Exponentially damped Lévy flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 544-555.
    4. Vinogradov, Dmitry V., 2010. "Cumulant approach of arbitrary truncated Levy flight," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5794-5800.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:275:y:2000:i:3:p:531-543. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.