A multifractal random walk
نویسندگان
چکیده
We introduce a class of multifractal processes, referred to as Multifractal Random Walks (MRWs). To our knowledge, it is the first multifractal processes with continuous dilation invariance properties and stationary increments. MRWs are very attractive alternative processes to classical cascade-like multifractal models since they do not involve any particular scale ratio. The MRWs are indexed by few parameters that are shown to control in a very direct way the multifractal spectrum and the correlation structure of the increments. We briefly explain how, in the same way, one can build stationary multifractal processes or positive random measures.
منابع مشابه
Multifractal Nature of Two Dimensional Simple Random Walk Paths
The multifractal spectrum of discrete harmonic measure of a two dimensional simple random walk path is considered. It is shown that the spectrum is the same as for Brownian motion, is nontrivial, and can be given in terms of a quantity known as the intersection exponent.
متن کاملMultifractal Dimension Spectra in Polymer Physics
We study the multifractal properties of diffusion in the presence of an absorbing polymer and report the numerical values of the multifractal dimension spectra for the case of an absorbing self avoiding walk or random walk.
متن کاملConvergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting
Abstract. Some asymptotic properties of a Brownian motion in multifractal time, also called multifractal random walk, are established. We show the almost sure and L convergence of its structure function. This is an issue directly connected to the scale invariance and multifractal property of the sample paths. We place ourselves in a mixed asymptotic setting where both the observation length and...
متن کاملScale-free avalanches in the multifractal random walk
Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth’s crust dynamics and from traffic flows to financial markets. Self-organized criticality (SOC) is one of the most popular theories able to explain this intermittent charge/discharge behaviour. Despite a large amount of theoretical work, empirical...
متن کاملForecasting Volatility with the Multifractal Random Walk Model
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007