| Revista: | Brazilian journal of physics |
| Base de datos: | PERIÓDICA |
| Número de sistema: | 000361852 |
| ISSN: | 0103-9733 |
| Autores: | Schinckus, Christophe1 |
| Instituciones: | 1University of Leicester, School of Management, Leicester, Leicestershire. Reino Unido |
| Año: | 2013 |
| Periodo: | Ago |
| Volumen: | 43 |
| Número: | 4 |
| Paginación: | 281-293 |
| País: | Brasil |
| Idioma: | Inglés |
| Tipo de documento: | Artículo |
| Enfoque: | Experimental, aplicado |
| Resumen en inglés | Stable Lévy processes have very interesting properties for describing the complex behaviour of non-equilibrium dissipative systems such as turbulence, anomalous diffusion or financial markets. However, although these processes better fit the empirical data, some of their statistical properties can raise several theoretical problems in empirical applications because they generate infinite variables. Econophysicists have developed statistical solutions to make these processes physically plausible. This paper presents a review of these analytical solutions (truncations) for stable Lévy processes and how econophysicists transformed them into data-driven processes. The evolution of these analytical solutions is presented as a progressive research programme provided by (econo)physicists for theoretical problems encountered in financial economics in the 1960s and the 1970s |
| Disciplinas: | Física y astronomía, Economía |
| Palabras clave: | Econometría, Estadística, Procesos estables de Levy, Econofísica, Procesos estocásticos, Mercados financieros |
| Keyword: | Physics and astronomy, Economics, Econometrics, Statistics, Stable Levy processes, Econophysics, Stochastic processes, Financial markets |
| Texto completo: | Texto completo (Ver HTML) |
