Empirical scaling laws and the aggregation of non-stationary data
DOI10.1016/J.PHYSA.2013.06.049zbMATH Open1395.62284OpenAlexW1989468454MaRDI QIDQ1673262FDOQ1673262
Authors: Lo-Bin Chang, Stuart Geman 
Publication date: 11 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2013.06.049
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Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Limit theorems in probability theory (60F99) Stochastic models in economics (91B70) Self-similar stochastic processes (60G18)
Cites Work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Title not available (Why is that?)
- Encyclopedia of quantitative finance. 4 Volumes.
- Switching processes in financial markets
- Scaling, self-similarity and multifractality in FX markets
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Time changes for Lévy processes
- Multi-scaling in finance
- Scaling properties of foreign exchange volatility
- FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
- Discovering stock dynamics through multidimensional volatility phases
- Truncated Lévy process with scale-invariant behavior
Cited In (4)
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