Multiplicative random cascades with additional stochastic process in financial markets

Jun ichi Maskawaa, Koji Kuroda, Joshin Murai

Research output: Contribution to journalArticlepeer-review

Abstract

Multiplicative random cascade model naturay 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 strongly negative correlation. We extend the multiplicative model to incorporate an additional stochastic term. Results show that the proposed model is consistent with a the empirical results presented here.

Original languageEnglish
JournalUnknown Journal
Publication statusPublished - Sep 4 2018

ASJC Scopus subject areas

  • General

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