A Cautionary note on modeling with fractional Lévy flights

C.C. Heyde and Allan Sly

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 21, 5024-5032

Abstract: Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Lévy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional Lévy flights which are inherently problematic.

Keywords: Self-similar; Multifractal; Fractional Levy flights (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:21:p:5024-5032

DOI: 10.1016/j.physa.2008.05.029

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