Apparent multifractality of self-similar Lévy processes
From MaRDI portal
Publication:4978477
DOI10.1088/1361-6544/AA6F2DzbMath1371.60066arXiv1511.04312OpenAlexW2259842725MaRDI QIDQ4978477
Publication date: 11 August 2017
Published in: Nonlinearity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.04312
Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)
Related Items (1)
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