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

Nikolai Leonenko, Stuart Petherick and Emanuele Taufer

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 1, 7-16

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: Multifractal process; Ornstein–Uhlenbeck process; Lévy process; Self-decomposable distribution; Subordinator; Renyi function; Exchange rates (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:1:p:7-16

DOI: 10.1016/j.physa.2012.08.013

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