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| Formato: | Artículo científico |
| Lenguaje: | en |
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Sociedade Brasileira de Física
2013
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| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=46427890010 |
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| _version_ | 1866557913060868096 |
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| author | Christophe Schinckus |
| author_facet | Christophe Schinckus |
| contents | How Physicists Made Stable Lévy Processes Physically Plausible Christophe Schinckus Física, Astronomía y Matemáticas Truncation Econophysics Stable Lévy processes Stable Lévy processes have very interesting properties for describing the complex behaviour of non-equilibrium dissipative systems such as turbulence, anomalous diffusion or financial markets. However, although these processes better fit the empirical data, some of their statistical properties can raise several theoretical problems in empirical applications because they generate infinite variables. Econophysicists have developed statistical solutions to make these processes physically plausible. This paper presents a review of these analytical solutions (truncations) for stable Lévy processes and how econophysicists transformed them into data-driven processes. The evolution of these analytical solutions is presented as a progressive research programme provided by (econo)physicists for theoretical problems encountered in financial economics in the 1960s and the 1970s. 2013 artículo científico 0103-9733 https://www.redalyc.org/articulo.oa?id=46427890010 en http://www.redalyc.org/revista.oa?id=464 Brazilian Journal of Physics application/pdf Sociedade Brasileira de Física Brazilian Journal of Physics (Brasil) Num.4 Vol.43 |
| format | Artículo científico |
| id | redalyc_46427890010 |
| language | en |
| publishDate | 2013 |
| publisher | Sociedade Brasileira de Física |
| spellingShingle | How Physicists Made Stable Lévy Processes Physically Plausible Christophe Schinckus Física, Astronomía y Matemáticas Truncation Econophysics Stable Lévy processes How Physicists Made Stable Lévy Processes Physically Plausible Christophe Schinckus Física, Astronomía y Matemáticas Truncation Econophysics Stable Lévy processes Stable Lévy processes have very interesting properties for describing the complex behaviour of non-equilibrium dissipative systems such as turbulence, anomalous diffusion or financial markets. However, although these processes better fit the empirical data, some of their statistical properties can raise several theoretical problems in empirical applications because they generate infinite variables. Econophysicists have developed statistical solutions to make these processes physically plausible. This paper presents a review of these analytical solutions (truncations) for stable Lévy processes and how econophysicists transformed them into data-driven processes. The evolution of these analytical solutions is presented as a progressive research programme provided by (econo)physicists for theoretical problems encountered in financial economics in the 1960s and the 1970s. 2013 artículo científico 0103-9733 https://www.redalyc.org/articulo.oa?id=46427890010 en http://www.redalyc.org/revista.oa?id=464 Brazilian Journal of Physics application/pdf Sociedade Brasileira de Física Brazilian Journal of Physics (Brasil) Num.4 Vol.43 |
| title | How Physicists Made Stable Lévy Processes Physically Plausible |
| topic | Física, Astronomía y Matemáticas Truncation Econophysics Stable Lévy processes |
| url | https://www.redalyc.org/articulo.oa?id=46427890010 |