Title of article
Multifractal models via products of geometric OU-processes: Review and applications
Author/Authors
Leonenko، نويسنده , , Nikolai and Petherick، نويسنده , , Stuart and Taufer، نويسنده , , Emanuele، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
10
From page
7
To page
16
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.
Keywords
Renyi function , Ornstein–Uhlenbeck process , Self-decomposable distribution , Multifractal process , Exchange rates , Lévy process , Subordinator
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2013
Journal title
Physica A Statistical Mechanics and its Applications
Record number
1736349
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