Apparent scaling
نویسندگان
چکیده
A number of authors have reported empirically observed scaling laws of the absolute values of log returns of stocks and exchange rates, with a scaling coefficient in the order of 0.58–0.59. It is suggested here that this phenomenon is largely due to the semi-heavy tailedness of the distributions concerned rather than to real scaling.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 5 شماره
صفحات -
تاریخ انتشار 2001