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Physica A Statistical Mechanics and its Applications
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arXiv.org e-Print Archive
Preprint . 2010
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Physica A Statistical Mechanics and its Applications
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Research Papers in Economics
Preprint . 2010
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Cumulant approach of arbitrary truncated Levy flight

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Dec 2010Embargo end date: 01 Jan 2010 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 389, pages 5,794-5,800 (issn: 0378-4371, Copyright policy )
Authors: Dmitry V. Vinogradov;

doi: 10.1016/j.physa.2010.09.014 , 10.48550/arxiv.1006.2489

arXiv: 1006.2489

Cumulant approach of arbitrary truncated Levy flight

Abstract

The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gaussian and the Levy regimes has been investigated.

9 pages

Keywords

FOS: Economics and business, Statistical Finance (q-fin.ST), Statistical Mechanics (cond-mat.stat-mech), Physics - Data Analysis, Statistics and Probability, Quantitative Finance - Statistical Finance, FOS: Physical sciences, Mathematical Physics (math-ph), Condensed Matter - Statistical Mechanics, Mathematical Physics, Data Analysis, Statistics and Probability (physics.data-an)

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
8
Average
Average
Average
Green
bronze