Intermittent random fields. II: Fields with asymmetric increments (Q2565532)

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scientific article; zbMATH DE number 2208772
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    Intermittent random fields. II: Fields with asymmetric increments
    scientific article; zbMATH DE number 2208772

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      Intermittent random fields. II: Fields with asymmetric increments (English)
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      27 September 2005
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      In Part I [ibid. 341, No. 4, 265--268 (2005; Zbl 1114.60041)], the authors defined a family of multifractal random fields whose increments have a symmetrical distribution. The present Part II proposes another family of intermittent fields, having asymmetric increments this time. The study of the newly introduced model follows the same stages as the previous one, the asymmetric property of random fields increments having the following interpretations when applied to physics and finance, respectively: the asymmetry is related to the dissipation of energy within the speed fields that are turbulent, while for the financial markets, the asymmetry is related to the agent behavior within the high or low levels of the market values.
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      multifractal random fields
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      symmetrical distribution
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      symmetric and asymmetric increments
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      turbulent dissipation of energy
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      financial markets
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