Affordable Access

deepdyve-link
Publisher Website

A multifractal random walk

Authors
  • Bacry, E.
  • Delour, J.
  • Muzy, J. F.
Type
Preprint
Publication Date
May 24, 2000
Submission Date
May 24, 2000
Identifiers
DOI: 10.1103/PhysRevE.64.026103
arXiv ID: cond-mat/0005405
Source
arXiv
License
Unknown
External links

Abstract

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.

Report this publication

Statistics

Seen <100 times