Published in
Elsevier, Physica A: Statistical Mechanics and its Applications, 2(386), p. 756-759
DOI: 10.1016/j.physa.2007.08.042
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- [mpra.ub.uni-muenchen.de] | PDF
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The Lévy sections theorem: An application to econophysics
Journal article published in 2007 by
Annibal Figueiredo,
Raul Matsushita 
,
S. daSilva,
Sergio Da Silva,
Maurizio Serva,
Gandhi M. Viswanathan ,
Cesar Nascimento,
Iram Gleria
,
S. daSilva,
Sergio Da Silva,
Maurizio Serva,
Gandhi M. Viswanathan ,
Cesar Nascimento,
Iram Gleria
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Abstract
We employ the Lévy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.