The Australian Journal of Mathematical Analysis and Applications

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ISSN 1449-5910  


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Paper's Title:

Normalized Truncated Levy models applied to the study of Financial Markets


M. C. Mariani, K. Martin, D. W. Dombrowski and D. Martinez

Department of Mathematical Sciences and Department of Finance,
New Mexico State University, P.O. Box 30001
Department 3MB Las Cruces, New Mexico 88003-8001


This work is devoted to the study of the statistical properties of financial instruments from developed markets. We performed a new analysis of the behavior of companies corresponding to the DJIA index, and of the index itself, by using a normalized Truncated Levy walk model. We conclude that the Truncated Levy distribution describes perfectly the evolution of the companies and of the index near a crash.

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