We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for the distribution, and hence shows scaling properties as commonly observed in empirical data; it has the advantage that all moments are finite and so accounts for the empirical scaling of the moments. To test the potential utility of the STL process, we analyze financial data
International audienceWe introduce a class of stochastic volatility models (X_t)_{t≥0} for which the...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
Abstract We study a stochastic multiplicative system composed of ÿnite asynchronous elements to desc...
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, sa...
We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability ...
Modelling the evolution of a financial index as a stochastic process is a problem awaiting a full, s...
In physical situations, scale invariance holds only for a lim-ited range of scales. In this paper, o...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
In the last years fractal models have become the focus of many contributions dealing with market dyn...
International audienceThis book is organized around the notions of scaling phenomena and scale invar...
Many complex systems have been shown to share universal properties of organization, such as scale in...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
A truncated Lévy subordinator is a Lévy subordinator in R+ with Lévy measure restricted from above b...
We address the generic problem of extracting the scaling exponents of a stationary, self-affine proc...
The Lampertie transform establishes a one to one connection between stationary and self-similar proc...
International audienceWe introduce a class of stochastic volatility models (X_t)_{t≥0} for which the...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
Abstract We study a stochastic multiplicative system composed of ÿnite asynchronous elements to desc...
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, sa...
We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability ...
Modelling the evolution of a financial index as a stochastic process is a problem awaiting a full, s...
In physical situations, scale invariance holds only for a lim-ited range of scales. In this paper, o...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
In the last years fractal models have become the focus of many contributions dealing with market dyn...
International audienceThis book is organized around the notions of scaling phenomena and scale invar...
Many complex systems have been shown to share universal properties of organization, such as scale in...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
A truncated Lévy subordinator is a Lévy subordinator in R+ with Lévy measure restricted from above b...
We address the generic problem of extracting the scaling exponents of a stationary, self-affine proc...
The Lampertie transform establishes a one to one connection between stationary and self-similar proc...
International audienceWe introduce a class of stochastic volatility models (X_t)_{t≥0} for which the...
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lé...
Abstract We study a stochastic multiplicative system composed of ÿnite asynchronous elements to desc...
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