Multifractal Scaling for Risky Asset Modelling

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.

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Year of publication:	2012-07
Authors:	Taufer, Emanuele ; Leonenko, Nikolai ; Petherick, EStuart
Institutions:	Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento
Subject:	Multifractal process \| Ornstein-Uhlenbeck process \| self-decomposable distribution \| subordinator \| Renyi function \| Exchange rates

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Extent:	application/pdf
Series:	DISA Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2012/07
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010819749