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Multifractal models via products of geometric OU-processes: Review and applications

Leonenko, Nikolai N., Petherick, Stuart and Taufer, E. 2013. Multifractal models via products of geometric OU-processes: Review and applications. Physica A: Statistical Mechanics and its Applications 392 (1) , pp. 7-16. 10.1016/j.physa.2012.08.013

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Abstract

This paper reviews a class of multifractal models obtained via products of exponential Ornstein–Uhlenbeck processes driven by Lévy motion. Given a self-decomposable distribution, conditions for constructing multifractal scenarios and general formulas for their Renyi functions are provided. Together with several examples, a model with multifractal activity time is discussed and an application to exchange data is presented.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Publisher: Elsevier
ISSN: 0378-4371
Last Modified: 14 Oct 2017 20:23
URI: http://orca.cf.ac.uk/id/eprint/45216

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