Stochastic simulation of time series by using the spatial-temporal Weierstrass function

DOI10.1007/3-540-44860-8_42MaRDI QIDQ4434764zbMATH OpenFDO

Authors Filip Świtała, Ryszard Kutner

Publication date 26 November 2003

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2657/26570407.htm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(5)

• Stock market context of the Lévy walks with varying velocity
• Riemann and Weierstrass walks revisited
• Anomalous waiting times in high-frequency financial data
• Stochastic simulations of time series within Weierstrass-Mandelbrot walks
• Higher-order analysis within Weierstrass hierarchical walks

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