Time Change, Volatility, and Turbulence

Ole Barndorff-Nielsen and Jürgen Schmiegel ()
Additional contact information
Jürgen Schmiegel: University of Aarhus, The T.N. Thiele Centre for Applied Mathematics in Natural Science, Department of Mathematical Sciences

A chapter in Mathematical Control Theory and Finance, 2008, pp 29-53 from Springer

Abstract: Summary A concept of volatility modulated Volterra processes is introduced. Apart from some brief discussion of generalities, the paper focusses on the special case of backward moving average processes driven by Brownian motion. In this framework, a review is given of some recent modelling of turbulent velocities and associated questions of time change and universality. A discussion of similarities and differences to the dynamics of financial price processes is included.

Keywords: Time Change; Fractional Brownian Motion; Inertial Range; Stochastic Volatility Modelling; Velocity Increment (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-69532-5_3

Ordering information: This item can be ordered from
http://www.springer.com/9783540695325

DOI: 10.1007/978-3-540-69532-5_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().