relation: http://eprints.imtlucca.it/1875/
title: Systems with correlations in the variance: Generating power law tails in probability distributions
creator: Podobnik, Boris
creator: Ivanov, Plamen Ch.
creator: Lee, Youngki
creator: Chessa, Alessandro
creator: Stanley, H. Eugene
subject: QC Physics
description: We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by i) a Gaussian or ii) a truncated Lévy distribution. For both i) and ii), we find that due to the correlations in the variance, the process "dynamically" generates power law tails in the distributions, whose exponents can be controlled through the way the correlations in the variance are introduced. For ii), we find that the process can extend a truncated distribution beyond the truncation cutoff, which leads to a crossover between a Lévy stable power law and the present "dynamically generated" power law. We show that the process can explain the crossover behavior recently observed in the S&P500 stock index.
publisher: IOPscience
date: 2000
type: Article
type: PeerReviewed
identifier:   Podobnik, Boris and Ivanov, Plamen Ch. and Lee, Youngki and Chessa, Alessandro and Stanley, H. Eugene  Systems with correlations in the variance: Generating power law tails in probability distributions.  EPL (Europhysics Letters), 50 (6).  pp. 711-717.  ISSN 0295-5075       (2000)  
relation: http://dx.doi.org/10.1209/epl/i2000-00540-7
relation: 10.1209/epl/i2000-00540-7