Jan

18

Continuing my study of truncated Levy flights, I have found some paper coming up with the best explanation so far of why variance is necessarily finite. Physically, variance cannot be infinite because there are only a finite number of observations. That's so simple and so grounded in common sense that I am wondering why no one came up with it sooner.

I would like to make another remark. Since, as the Chair and others observed, the market can be quite jumpy in the short term, but converges to normal in the long term, say yearly returns, the central question is: how long before the market converges to normal?

This is somewhat opposite to the Mandelbrotians' worry: how long before a 10-sigma event?

I would be grateful if anyone could point me to good papers about measuring convergence speed.


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