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The art of fitting financial time series with Levy stable distributions

journal contribution
posted on 2023-06-08, 18:25 authored by Enrico Scalas, Kyungsik Kim
This paper illustrates a procedure for fitting financial data with a-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 the two investigated data sets (MIB30 and DJIA from 2000 to present), an a-stable fit of log-returns is reasonably good.

History

Publication status

  • Published

Journal

Journal of the Korean Physical Society

ISSN

0374-4884

Publisher

Han'guk Mulli Hakhoe, Korean Physical Society

Issue

1

Volume

50

Page range

105-111

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-29

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