MULTIFRACTAL FLUCTUATIONS IN FINANCE

DOI10.1142/S0219024900000206zbMath0973.91045arXivcond-mat/0102369WikidataQ60546272 ScholiaQ60546272MaRDI QIDQ4521254

S. Lovejoy, François G. Schmitt, Daniel Schertzer

Publication date: 5 July 2001

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0102369

zbMATH Keywords

Lévy processesBrownian motionscalingstructure functions

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (13)

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY ⋮ Modelling stock price movements: multifractality or multifractionality? ⋮ Finite-size effect and the components of multifractality in financial volatility ⋮ Lacunarity and multifractal analysis of the large DLA mass distribution ⋮ Multifractal vector fields and stochastic Clifford algebra ⋮ The effect of round-off error on long memory processes ⋮ Hierarchical structure of stock price fluctuations in financial markets ⋮ TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? ⋮ Invasion-percolation and statistics of US Treasury bonds ⋮ ON OPTIMAL WAVELET BASES FOR THE REALIZATION OF MICROCANONICAL CASCADE PROCESSES ⋮ MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS ⋮ A DYNAMICAL APPROACH TO STOCK MARKET FLUCTUATIONS ⋮ Multifractal geometry in stock market time series

Cites Work

• Multifractal Cascade Dynamics and Turbulent Intermittency
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