The art of fitting financial time series with Levy stable distributions

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dc.creatorScalas, Enrico
dc.creatorKim, Kyungsik
dc.date2006-08-23
dc.date.accessioned2026-07-07T12:07:50Z
dc.date.available2026-07-07T12:07:50Z
dc.descriptionThis 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.
dc.description17 pages, 10 figures, 2 tables. Paper presented at the DDAP4 conference, Pohang, Korea, July 2006. Submitted to Journal of Korean Physical Society
dc.identifierhttps://arxiv.org/abs/physics/0608224
dc.identifierhttp://arxiv.org/abs/physics/0608224
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209114
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleThe art of fitting financial time series with Levy stable distributions
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