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The Lévy sections theorem: An application to econophysics |
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| Authors: | A. Figueiredo S. daSilva G.M. Viswanathan Iram Gleria |
| Affiliation: | a Instituto de Física, Universidade de Brasília, 70910-900 Brasília-DF, Brazil b Departamento de Economia, Universidade Federal deSanta Catarina, 88049-970 Florianópolis-SC, Brazil c Dipartamento di Matematica, Universitá dell’Aquila, I67010 L’Aquila, Italy d Instituto de Física, Universidade Federal de Alagoas, 57072-970 Maceió-AL, Brazil |
| 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. |
| Keywords: | 89.65.Gh 89.75.-k |
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