Higher-order analysis within Weierstrass hierarchical walks

DOI10.1016/S0010-4655(02)00359-4MaRDI QIDQ696662zbMATH OpenOpenAlexFDO

Authors Ryszard Kutner

Publication date 12 September 2002

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0010-4655(02)00359-4

zbMATH Keywords

Hurst exponentkurtosisLévy walksWeierstrass walks

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes with independent increments; Lévy processes (60G51)

Recommendations

• Stochastic simulations of time series within Weierstrass-Mandelbrot walks
• Stock market context of the Lévy walks with varying velocity
• scientific article; zbMATH DE number 2009860
• Multi-phase long-term autocorrelated diffusion: stationary continuous-time Weierstrass walk versus flight
• Possible origin of the non-linear long-term autocorrelations within the Gaussian regime

Cites work

• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools
• scientific article; zbMATH DE number 1550531 (Why is no real title available?)
• scientific article; zbMATH DE number 1429857 (Why is no real title available?)
• Introduction to Econophysics

Cited in

(3)

• Stock market context of the Lévy walks with varying velocity
• Stochastic simulations of time series within Weierstrass-Mandelbrot walks
• Multi-phase long-term autocorrelated diffusion: stationary continuous-time Weierstrass walk versus flight

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