Multiplicative random cascades with additional stochastic process in financial markets
Multiplicative random cascades with additional stochastic process in financial markets
复制标题
金融市场中具有附加随机过程的乘法随机级联
DOI：
10.1007/s40844-018-0112-y
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
K. & Murai
中科院分区：
文献类型：
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作者：
Maskawa;J.;Kuroda;K. & Murai
乘法随机级联模型自然再现了在湍流和金融市场等层次复杂系统中经常出现的间歇性或多重分形。如本文所述，我们通过使用财务数据的实证研究来研究乘法层次随机级联模型的有效性。虽然验证了时间序列的间歇性和多重分形，但连接连续分层层的随机乘法因子表现出强烈的负相关。我们扩展了乘法模型，加入了一个额外的随机项。结果表明，本文提出的模型与所有实证结果一致。
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the validity of a multiplicative hierarchical random cascade model through an empirical study using financial data. Although the intermittency and multifractality of the time series are verified, random multiplicative factors linking successive hierarchical layers show a strongly negative correlation. We extend the multiplicative model to incorporate an additional stochastic term. Results show that the proposed model is consistent with all the empirical results presented here.