The Levy Sections Theorem: An Application to Econophysics

Annibal Figueiredo, University of Brasilia
Raul Matsushita, University of Brasilia
Sergio Da Silva, Federal University of Santa Catarina
Maurizio Serva, University of Aquila
Gandhi Viswanathan, Federal University of Alagoas
Cesar Nascimento, Federal University of Alagoas
Iram Gleria, Federal University of Alagoas

Abstract

We employ the Levy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.