Demo of Skew Lognormal Cascade Distribution: Have fun playing!

eta (η) = (range: 0.00 to +9.99) (Definition, see this paper) [Back Home]
beta (β) = (range: -9.99 to +9.99) (Assume Φ=1)
gr (g) = (range: 0.00 to +9.99)   
If you don't know where to start, try η = 0.5, β = -0.3, g = 0.1. That is approximately the parameters for the US stock market.
The tail gets fatter rapidly when η > 0.5.
  Numerical Theoretical
mean = 0.0000 0.0000
std = 1.0000 1.0000
variance = 1.0000 1.0000
skewness = -0.0000 0.0000
kurtosis = -0.0000 0.0000
sum(pdf) = 1.0000 1.0000
delta_x = 1/30
x_range = [-20,20]
The drop at the very last bit of the right tail is
due to lack of data beyond the range. It does NOT reflect
the real tail behavior.

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