نتایج جستجو برای: multiplicative programming

تعداد نتایج: 342776  

2000
J. F. Muzy

In this paper, we provide a simple, “generic” interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as recently observed in Ref. [20], naturally emerge. We then propose a simple solvable “stochastic volatility” model for return fluctuations. This model is able to reproduce mos...

Journal: :Transactions of the American Mathematical Society 1996

Journal: :Colloquium Mathematicum 1960

Journal: :Physical Review A 2019

Journal: :Revista Matemática Iberoamericana 2004

Journal: :Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 2009

Journal: :Management Science 2006

Journal: :SSRN Electronic Journal 2011

Journal: :Proceedings of the National Academy of Sciences 1948

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