Normalized truncated Levy walks applied to the study of financial indices
نویسندگان
چکیده
This work is devoted to the study of the statistical properties of financial indices from developed and emergent markets. We performed a new analysis of the behavior of several financial indices by using a normalized truncated Levy walk model. We conclude that the truncated Levy distribution describes perfectly the evolution of the financial indices near a crash for both well-developed and emergent markets. r 2006 Elsevier B.V. All rights reserved.
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