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- W2045505345 abstract "To quantify heavy-tailed distributions observed in financial time series, we propose a general method to characterize symmetric non-Gaussian distributions. In our approach, an observed time series is assumed to be described by the multiplication of Gaussian and amplitude random variables, where the amplitude variable describes fluctuations of the standard deviation. Based on this framework, it is shown that statistical properties of the log-amplitude fluctuations can be estimated using the logarithmic absolute moments of the observed time series." @default.
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- W2045505345 date "2010-04-01" @default.
- W2045505345 modified "2023-09-27" @default.
- W2045505345 title "Log-amplitude statistics of non-Gaussian fluctuations" @default.
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- W2045505345 doi "https://doi.org/10.1088/1742-6596/221/1/012010" @default.
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