Pregled bibliografske jedinice broj: 52103
Scale-invariant Truncated Levy Process
Scale-invariant Truncated Levy Process // Europhysics Letters, 52 (2000), 5; 491-497 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 52103 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Scale-invariant Truncated Levy Process
Autori
Podobnik, Boris ; Ivanov, Plamen Ch. ; Lee, Youngki ; Stanley, H. Eugene
Izvornik
Europhysics Letters (0295-5075) 52
(2000), 5;
491-497
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Fluctuation phenomena;
random processes; noise; Brownian motion
Sažetak
We develop a scale-invariant truncated L\'evy (STL) process to describe
physical systems characterized by correlated stochastic variables. The
STL process exhibits L\'evy stability for the probability density, and
hence shows scaling properties (as 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.
Izvorni jezik
Engleski
Znanstvena područja
Fizika
POVEZANOST RADA
Projekti:
119222
Ustanove:
Prirodoslovno-matematički fakultet, Zagreb
Profili:
Boris Podobnik
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
