The art of fitting financial time series with Levy stable distributions
Abstract
Description
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.
17 pages, 10 figures, 2 tables. Paper presented at the DDAP4 conference, Pohang, Korea, July 2006. Submitted to Journal of Korean Physical Society
17 pages, 10 figures, 2 tables. Paper presented at the DDAP4 conference, Pohang, Korea, July 2006. Submitted to Journal of Korean Physical Society