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The Levy sections theorem: an application to econophysics

Author

Listed:
  • Figueiredo, Annibal
  • Matsushita, Raul
  • Da Silva, Sergio
  • Serva, Maurizio
  • Viswanathan, Gandhi
  • Nascimento, Cesar
  • Gleria, Iram

Abstract

We employ the Levy 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.

Suggested Citation

  • Figueiredo, Annibal & Matsushita, Raul & Da Silva, Sergio & Serva, Maurizio & Viswanathan, Gandhi & Nascimento, Cesar & Gleria, Iram, 2007. "The Levy sections theorem: an application to econophysics," MPRA Paper 3810, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:3810
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    File URL: https://mpra.ub.uni-muenchen.de/3810/1/MPRA_paper_3810.pdf
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    References listed on IDEAS

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    1. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Nonidentically distributed variables and nonlinear autocorrelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 171-180.
    2. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "The Levy sections theorem revisited," MPRA Paper 1983, University Library of Munich, Germany.
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    Cited by:

    1. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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    More about this item

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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