Stochastic simulations of time series within Weierstrass-Mandelbrot walks

DOI10.1088/1469-7688/3/3/306MaRDI QIDQ4647263zbMATH OpenOpenAlexFDO

Authors 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

financial time seriesstochastic simulationsWeierstrass-Mandelbrot walks

Mathematics Subject Classification ID

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

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Cited in

(6)

• Stock market context of the Lévy walks with varying velocity
• Riemann and Weierstrass walks revisited
• scientific article; zbMATH DE number 2009860 (Why is no real title available?)
• 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
• Higher-order analysis within Weierstrass hierarchical walks

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