A 2D Lévy-flight model for the complex dynamics of real-life financial markets.

  title={A 2D L{\'e}vy-flight model for the complex dynamics of real-life financial markets.},
  author={H. Yarahmadi and Abbas Ali Saberi},
  volume={32 3},
We report on the emergence of scaling laws in the temporal evolution of the daily closing values of the S&P 500 index prices and its modeling based on the Lévy flights in two dimensions (2D). The efficacy of our proposed model is verified and validated by using the extreme value statistics in the random matrix theory. We find that the random evolution of each pair of stocks in a 2D price space is a scale-invariant complex trajectory whose tortuosity is governed by a 2/3 geometric law between… 

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