Multifractality in the Random Parameters Model

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The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore other properties of the model, like the scaling of its PDF as one take larger scales. Special attention is given to the multifractal structure of the model time series, which revealed a scaling structure compatible with the known stylized facts for a reasonable choice of the parameter values.
9 pages, 6 figures

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Statistical Finance, Physics and Society

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http://salesiana.dossiersoluciones.com/handle/123456789/208397

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0710.5497
 http://arxiv.org/abs/0710.5497

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arXiv