Modelling fluctuations of financial time series: from cascade process to stochastic volatility model

• 1 October 2000
• journal article
• Published by Springer Nature in Zeitschrift für Physik B Condensed Matter
• Vol. 17  (3) , 537-548
• https://doi.org/10.1007/s100510070131

Abstract

Keywords

• PACS. 02.50.-R PROBABILITY THEORY
• STOCHASTIC PROCESSES
• AND STATISTICS - 05.45.DF FRACTALS - 05.40.-A FLUCTUATION PHENOMENA
• RANDOM PROCESSES
• NOISE
• AND BROWNIAN MOTION

All Related Versions

• Version 1, 2000-05-24, ArXiv