Multifractal fluctuations in finance
| dc.creator | Schmitt, F. | |
| dc.creator | Schertzer, D. | |
| dc.creator | Lovejoy, S. | |
| dc.date | 2001-02-21 | |
| dc.date.accessioned | 2026-07-07T12:06:32Z | |
| dc.date.available | 2026-07-07T12:06:32Z | |
| dc.description | We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q)(T)~T^z(q)). We demonstrate that the nonlinearity of the observed scaling exponent z(q) is incompatible with monofractal additive stochastic models usually introduced in finance: Brownian motion, Levy processes and their truncated versions. This nonlinearity corresponds to multifractal intermittency yielded by multiplicative processes. The non-analycity of z(q) corresponds to universal multifractals, which are furthermore able to produce ``hyperbolic'' pdf tails with an exponent q_D >2. We argue that it is necessary to introduce stochastic evolution equations which are compatible with this multifractal behaviour. | |
| dc.description | 4 pages, 2 figures | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0102369 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0102369 | |
| dc.identifier | Int. J. Theor. Appl. Fin., 3, 3 (2000), 361-364 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208682 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Disordered Systems and Neural Networks | |
| dc.subject | Statistical Finance | |
| dc.title | Multifractal fluctuations in finance | |
| dc.type | text |