Empirical scaling laws and the aggregation of non-stationary data

DOI10.1016/j.physa.2013.06.049zbMath1395.62284OpenAlexW1989468454MaRDI QIDQ1673262

Lo-Bin Chang, Stuart Geman

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.06.049

zbMATH Keywords

stochastic volatilityself-similarityrandom-walk modelsmarket time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Stochastic models in economics (91B70) Self-similar stochastic processes (60G18) Limit theorems in probability theory (60F99)

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Cites Work

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• Multi-scaling in finance
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Switching processes in financial markets
• Truncated Lévy process with scale-invariant behavior

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