Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets

Iram Gleria, Federal University of Alagoas
Annibal Figueiredo, University of Brasilia
Raul Matsushita, University of Brasilia
Pushpa Rathie, University of Brasilia
Sergio Da Silva, Federal University of Rio Grande Do Sul

Abstract

There is a role for autocorrelations and power laws in the sum of stochastic variables. We use such an approach to analyze the sluggish convergence in data from the S&P500 index. We also employ our suggested exponentially damped Levy flight to assess the data's multiscaling properties.