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Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets

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  • Gleria, Iram
  • Figueiredo, Annibal
  • Matsushita, Raul
  • Rathie, Pushpa
  • Da Silva, Sergio

Abstract

We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence [2] in data coming from the S&P500 index. We also employ our suggested exponentially damped Lévy flight [3] to assess the multiscaling properties in the data.

Suggested Citation

  • Gleria, Iram & Figueiredo, Annibal & Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2004. "Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(1), pages 200-206.
    • Handle: RePEc:eee:phsmap:v:342:y:2004:i:1:p:200-206
    DOI: 10.1016/j.physa.2004.04.079
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    1. 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.
    2. Gupta, Hari M. & Campanha, José R., 1999. "The gradually truncated Lévy flight for systems with power-law distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 268(1), pages 231-239.
    3. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2003. "Autocorrelation as a source of truncated Lévy flights in foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 601-625.
    4. 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.
    5. Miranda, L.Couto & Riera, R., 2001. "Truncated Lévy walks and an emerging market economic index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 297(3), pages 509-520.
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    Cited by:

    1. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    2. da Silva, Roberto & Zembrzuski, Marcelo & Correa, Fabio C. & Lamb, Luis C., 2010. "Stock markets and criticality in the current economic crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5460-5467.
    3. Tabak, B.M. & Takami, M.Y. & Cajueiro, D.O. & Petitinga, A., 2009. "Quantifying price fluctuations in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(1), pages 59-62.
    4. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.

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