Scalas, Enrico and Kim, Kyungsik (2007) The art of fitting financial time series with Levy stable distributions. Journal of the Korean Physical Society, 50 (1). pp. 105-111. ISSN 0374-4884

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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 the two investigated data sets (MIB30 and DJIA from 2000 to present), an α-stable fit of log-returns is reasonably good.

Item Type:	Article
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Subjects:	Q Science > QA Mathematics > QA0276 Mathematical statistics
Depositing User:	Enrico Scalas
Date Deposited:	29 Sep 2014 10:40
Last Modified:	29 Sep 2014 10:40
URI:	http://sro.sussex.ac.uk/id/eprint/50266

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