Stochastic simulations of time series within Weierstrass–Mandelbrot walks

DOI10.1088/1469-7688/3/3/306zbMath1405.91715OpenAlexW1964907304MaRDI QIDQ4647263

Filip Świtała, Ryszard Kutner

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/3/306

zbMATH Keywords

stochastic simulationsfinancial time seriesWeierstrass-Mandelbrot walks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50) Financial applications of other theories (91G80)

Related Items (2)

Multi-phase Long-Term Autocorrelated Diffusion: Stationary Continuous-Time Weierstrass Walk Versus Flight ⋮ On properties of continuous-time random walks with non-Poissonian jump-times

Cites Work

• Fractal random walks
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools
• LÉVY FLIGHTS: CHAOTIC, TURBULENT, AND RELATIVISTIC
• Random walks with self-similar clusters
• Complexity
• Patterns of Speculation
• Introduction to Econophysics
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