The distributions of returns in a generic model that described the dynamics of stock market indices were studied. For the distributions generated by this model, it was observed that the central peak was consistent with a levy distributions while the tails exhibited a power-law distributions with an exponent beyond the range of Levy-stable distributions. It was found that the results were fully consistent with the empirical results both for central peak and for the tails.
|Original language||American English|
|Number of pages||5|
|Journal||Physical Review E|
|Issue number||2 II|
|State||Published - Aug 2001|