Kutner, R.; Switała, F. - In: Quantitative Finance 3 (2003) 3, pp. 201-211
In the present work we extend Levy walks to allow the velocity of the walker to vary. We call these extended Levy walks Weierstrass-Mandelbrot walks. This is a generalized model of the Levy walk type which is still able to describe both stationary and non-stationary stochastic time series by...