Continuous-time skewed multifractal processes as a model for financial returns (Q2897157)

A stochastic process \(X(t)\) with stationary increments is said to have a multifractal scaling property if NEWLINE\[NEWLINE\operatorname{E}|X(t+\tau)-X(t)|^q\approx c_q \tau^{\zeta_q}NEWLINE\]NEWLINE for small \(\tau>0\), where \(\zeta_q\) is a non-linear function of \(q\). The authors suggest a construction of a process with multifractal scaling and a skewed distribution. The model is obtained by extending the construction from [\textit{E. Bacry} and \textit{J. F. Muzy}, Commun. Math. Phys. 236, No. 3, 449--475 (2003; Zbl 1032.60046)]. The suggested model apparently is suitable to model financial data with leverage effects. A number of numerical illustrations are provided.