Levy’s stable distribution for stock crash detecting
In this paper we study the possibility of construction indicators-precursors relying on one of the most power-law tailed distributions - Levy’s stable distribution. Here, we apply Levy’s parameters for 29 stock indices for the period from 1 March 2000 to 28 March 2019 daily values and show their eff...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | SHS Web of Conferences |
| Online Access: | https://www.shs-conferences.org/articles/shsconf/pdf/2019/06/shsconf_m3e22019_06006.pdf |