Abstract #300438

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JSM 2003 Abstract #300438
Activity Number: 90
Type: Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #300438
Title: A Log-Laplace Growth Rate Model
Author(s): Tomasz J. Kozubowski*+ and Krzysztof Podgorski
Companies: University of Nevada, Reno and Indiana University-Purdue University Indianapolis
Address: Mathematics/084, Reno, NV, 89557-0001,
Keywords: Laplace distribution ; power law ; scaling law ; stability property ; Pareto tail ; financial data
Abstract:

Log-Laplace (LL) distributions, which arise as exponential functions of skew Laplace laws and have power tail behavior at zero and infinity, have recently been proposed for modeling growth rates of diverse processes, such as annual gross domestic product, stock prices, interest or foreign currency exchange rates, company sizes, and other processes. We review the basic properties of LL laws and present their new stability property, which we offer as a possible explanation of the increasing popularity of LL laws in modeling growth rates. A numerical example where LL laws are fitted to currency exchange rates illustrates the new property.

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