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Multifractal Scaling for Risky Asset Modelling

Nikolai Leonenko, EStuart Petherick and Emanuele Taufer

No 2012/07, DISA Working Papers from Department of Computer and Management Sciences, University of Trento, Italy

Abstract: This paper reviews a class of multifractal models obtained via products of exponential Ornstein-Uhlenbeck processes driven by L«evy motion. Given a self-decomposable distribution, conditions for constructiong multifractal scenarios and general formulas for their Renyi functions are provided. Together with several examples, a model with multifractal activity time is discussed ad application to exchange data is presented.

Keywords: Multifractal process; Ornstein-Uhlenbeck process; self-decomposable distribution; subordinator; Renyi function; Exchange rates. (search for similar items in EconPapers)
Date: 2012-07, Revised 2012-07
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Citations: View citations in EconPapers (2)

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