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

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.

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Year of publication:	2013
Authors:	Leonenko, Nikolai ; Petherick, Stuart ; Taufer, Emanuele
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 1, p. 7-16
Publisher:	Elsevier
Subject:	Multifractal process \| Ornstein–Uhlenbeck process \| Lévy process \| Self-decomposable distribution \| Subordinator \| Renyi function \| Exchange rates

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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