Apparent multifractality of self-similar Lévy processes

DOI10.1088/1361-6544/AA6F2DzbMath1371.60066arXiv1511.04312OpenAlexW2259842725MaRDI QIDQ4978477

Marco Zamparo

Publication date: 11 August 2017

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04312

zbMATH Keywords

Lévy processesscaling lawsempirical moments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (1)

Large fluctuations and transport properties of the Lévy-Lorentz gas

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Detecting multifractal stochastic processes under heavy-tailed effects
• Scaling issues for risky asset modelling
• Log-infinitely divisible multifractal processes
• Scaling, self-similarity and multifractality in FX markets
• Finite-size effect and the components of multifractality in financial volatility
• Multi-scaling in finance
• Empirical properties of asset returns: stylized facts and statistical issues
• Probability
• Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations

This page was built for publication: Apparent multifractality of self-similar Lévy processes