Truncated Lévy walks and an emerging market economic index

Tail distribution of index fluctuations in World markets

“…Among these Makowiec and Gnacinski [8] have considered a five year period of Warsaw Stock Exchange index and found power law exponents of 3.06 and 3.88 for the negative and the positive tail, respectively. Some reported work find an exponential distribution for the emerging markets, such as Oh, Kim and Um [9] for the 1-minute Korean KOSDAQ index, Couto Miranda and Riera [10] for daily data of Brazilian Bovespa index in the period 1986-2000 and Matia et al [11] for the Indian Sensex 30 index, (a reanalysis of the Indian index by Pan and Sinha [12] finds a power law tail with an exponent close to that of mature markets). Yan et al study the Chinese stock exchanges for the 1994-2001 period and report a strong asymmetry for the negative and positive tails with power exponents of 4.29 and 2.44, respectively.…”

On the origins of truncated Lévy flights

“…The TLF is thus likely to model financial data. That has been shown for the S&P500 index [6] and other stock indices [7,8,9], as well as foreign exchange rates [10].…”

International finance, Lévy distributions, and the econophysics of exchange rates

“…The truncated Lévy flight is then a candidate to satisfactorily model financial data. Indeed, that has been shown for the S&P500 [68] and other stock markets [69][70][71], as well as foreign exchange rates [72]. (An earlier study that found power laws in foreign exchange markets is that of Müller et al [73].…”