Lévy processes and the Brazilian market

Authors

  • José Fajardo Barbachan Universidade Católica de Brasília, SGAN 916, Asa Norte, DF-BRAZIL
  • Andrés Ricardo Schuschny Universidad Nacional de Quilmes, Roque Saenz Pena 180, Bernal, Pcia. de Buenos Aires, Argentina
  • André de Castro Silva Chicago University

DOI:

https://doi.org/10.12660/bre.v21n22001.2752

Keywords:

Hyperbolic Distribution, Stable Paretian Distribution, Fat Tails, Scale Invariance.

Abstract

The present paper presents the Lévy processes used in the literature for the modeling of the returns of financial assets, which are generated by stable Paretian and hyperbolic distributions. Some properties of these distributions, especially the time-scale invariance, are analyzed. In the end, empirical evidence of the applicability of these processes is given for the modeling of Brazilian asset returns through Ibovespa, and the Telebrás and Petrobrás receipt. The data were collected between January 1st, 1995 and December 31st, 1998 (Gl) and January 1st, 1996 and December 31st, 1997 (G2).

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Published

2001-11-02

Issue

Vol. 21 No. 2 (2001)

Section

Articles