Random cascade model in the limit of infinite integral scale as the exponential of a nonstationary 1/f noise: Application to volatility fluctuations in stock markets - Département de mathématiques appliquées Accéder directement au contenu
Article Dans Une Revue Physical Review E : Statistical, Nonlinear, and Soft Matter Physics Année : 2013

Random cascade model in the limit of infinite integral scale as the exponential of a nonstationary 1/f noise: Application to volatility fluctuations in stock markets

Jean-François Muzy
Rachel Baile
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hal-01313841 , version 1 (10-05-2016)

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Jean-François Muzy, Rachel Baile, Emmanuel Bacry. Random cascade model in the limit of infinite integral scale as the exponential of a nonstationary 1/f noise: Application to volatility fluctuations in stock markets. Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2013, 87, pp.042813. ⟨10.1103/PhysRevE.87.042813⟩. ⟨hal-01313841⟩
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