Detecting multifractal stochastic processes under heavy-tailed effects

DOI10.1016/J.CHAOS.2014.04.016MaRDI QIDQ339843zbMATH OpenOpenAlexFDO

Authors Danijel Grahovac, Nikolai N. Leonenko

Publication date 11 November 2016

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2014.04.016

zbMATH Keywords

multifractalheavy-tailed distributionpartition function methodLévy process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and spectral analysis (62M15) Time series analysis of dynamical systems (37M10) Dynamical systems in optimization and economics (37N40) Simulation of dynamical systems (37M05)

Recommendations

• Apparent multifractality of self-similar Lévy processes
• Multifractal detrended fluctuation analysis of nonstationary time series
• scientific article; zbMATH DE number 1944330
• Estimation of multifractality based on natural time analysis
• Techniques for multifractal spectrum estimation in financial time series

Cites work

• scientific article; zbMATH DE number 1808203 (Why is no real title available?)
• scientific article; zbMATH DE number 5152150 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 1124634 (Why is no real title available?)
• scientific article; zbMATH DE number 2154236 (Why is no real title available?)
• scientific article; zbMATH DE number 1368020 (Why is no real title available?)
• A multifractal wavelet model with application to network traffic
• Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
• Continuous cascade models for asset returns
• Diffusion-type models with given marginal distribution and autocorrelation function
• Diverging Moments and Parameter Estimation
• Empirical realities for a minimal description risky asset model. The need for fractal features
• Finite-size effect and the components of multifractality in financial volatility
• Log-infinitely divisible multifractal processes
• Mixing: Properties and examples
• Modelling financial time series using multifractal random walks
• Multifractal Products of Stationary Diffusion Processes
• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions
• On the Frisch-Parisi conjecture
• Scaling issues for risky asset modelling
• Scaling, self-similarity and multifractality in FX markets
• Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations
• Statistical Inference for Student Diffusion Process
• Student processes
• The Student subordinator model with dependence for risky asset returns
• The multifractal nature of Lévy processes
• Wavelet-based estimators of scaling behavior

Cited in

(7)

• Goodness-of-fit test for stochastic processes using even empirical moments statistic
• Apparent multifractality of self-similar Lévy processes
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Linearization effect in multifractal analysis: insights from the random energy model
• A box-counting red herring
• Multifractional vector Brownian motions, their decompositions, and generalizations
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES

Describes a project that uses

Uses Software

• Multifractal

This page was built for publication: Detecting multifractal stochastic processes under heavy-tailed effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q339843)