The Levy sections theorem: an application to econophysics

Figueiredo, Annibal; Matsushita, Raul; Da Silva, Sergio; Serva, Maurizio; Viswanathan, Gandhi; Nascimento, Cesar and Gleria, Iram (2007): The Levy sections theorem: an application to econophysics. Unpublished.

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.

• Item Type: MPRA Paper
• Institution: Federal University of Santa Catarina
• Language: English
• Subjects: C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C49 - Other

References

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