On the Origins of Truncated Levy Flights

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

Abstract

We show that truncated Levy flights appear due to the presence of particular features of autocorrelation in data. We present and analyze physical reasons sufficient to ensure the scaling power laws and sluggish convergence associated with truncated Levy flights. Our approach is exemplified with currency data for the British pound and Chinese yuan against the US dollar. We further compare these examples with a simulated Lorentzian distribution.