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The weakness of Levy processes
I heard hedge funds use levy processes to model price and make lots of money. Are there any weakness for levy processes?Thanks,
The weakness of Levy processes
Any ideas (texts or papers) of how they use Levy in practice?
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- Stochastix
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The weakness of Levy processes
Sadly, I also heard that a lot of people say they are using Levy Process when indeed they are not. For a lot of practitionners, every thing that has fat tails is a Levy process....Alas, not all fat-tailed distributions are made equal...As a rule of thumb, beware of anybody that pretends that is models make him tons of money
The weakness of Levy processes
Schoutens wrote a summary http://www.amazon.co.uk/exec/obidos/ASI ... 812However, ask yourself how independent the incremental moves in the market really are.Well, but using time-change make sense.
Last edited by probably on March 3rd, 2005, 11:00 pm, edited 1 time in total.