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

Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091, 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:	24 Oct 2022 10:38
URI:	https://orca.cardiff.ac.uk/id/eprint/45216

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