Abstract:Abstract.The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has been used to describe a non-Gaussian random walk with independent, identically distributed increments in the general case, and high-order correlations have been investigated. The cumulants of an asymmetrically truncated Levy distribution have been found. The behavio… Show more
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