Economics at your fingertips  

Multiplicative random cascades with additional stochastic process in financial markets

Jun-ichi Maskawa, Koji Kuroda and Joshin Murai

Papers from

Abstract: Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the validity of a multiplicative hierarchical random cascade model through an empirical study using financial data. Although the intermittency and multifractality of the time series are verified, random multiplicative factors linking successive hierarchical layers show strongly negative correlation. We extend the multiplicative model to incorporate an additional stochastic term. Results show that the proposed model is consistent with all the empirical results presented here.

Date: 2018-09
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

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:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2018-09-15
Handle: RePEc:arx:papers:1809.00820