Bypassing the truncation problem of truncated Lévy flights

Open Webpage

Mateus Hiro Nagata, Raul Yukihiro Matsushita, Sergio da Silva, Regina Da Fonseca

Published: 01 Dec 2020, Last Modified: 26 Jan 2026Journal Physica A: Statistical Mechanics and its ApplicationsEveryoneCC BY 4.0
Abstract: We suggest a solution to the problem of truncation of truncated Lévy flights by deductively finding a power law between the truncation length and its standard deviation. We offer a generalization where the pdf of returns is left unknown, and its distributional moments are allowed to vary in time. Our model fits well with a financial dataset, which exhibits extreme moves.