The art of fitting financial time series with lévy stable distributions

Enrico Scalas, Kyungsik Kim

Risultato della ricerca: Contributo su rivistaArticolo di reviewpeer review

Abstract

This paper illustrates a procedure for fitting financial data with α-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate in order to quantitatively assess its quality. It turns out that, for one of the two investigated data sets (DJIA from 2000 to present), an α-stable fit of log-returns is reasonably good. However, for the other data set (MIB30 from 2000 to present), the fit is not as good as in the previous case. The issue of goodness-of-fit tests is critically discussed.

Lingua originaleInglese
pagine (da-a)105-111
Numero di pagine7
RivistaJournal of the Korean Physical Society
Volume50
Numero di pubblicazione1 I
Stato di pubblicazionePubblicato - gen 2007
Pubblicato esternamente

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