Abelian deterministic self organized criticality model: Complex dynamics of avalanche waves

The aim of this study is to investigate a wave dynamics and size scaling of avalanches which were created by the mathematical model {[}J. \v{C}ern\'ak Phys. Rev. E \textbf{65}, 046141 (2002)]. Numerical simulations were carried out on a two dimensional lattice $L\times L$ in which two constant thresholds $E_{c}^{I}=4$ and $E_{c}^{II}>E_{c}^{I}$ were randomly distributed. A density of sites $c$ with the threshold $E_{c}^{II}$ and threshold $E_{c}^{II}$ are parameters of the model. I have determined autocorrelations of avalanche size waves, Hurst exponents, avalanche structures and avalanche size moments for several densities $c$ and thresholds $E_{c}^{II}$. I found correlated avalanche size waves and multifractal scaling of avalanche sizes not only for specific conditions, densities $c=0.0$, 1.0 and thresholds $8\leq E_{c}^{II}\leq32$, in which relaxation rules were precisely balanced, but also for more general conditions, densities $0.0<c<1.0$ and thresholds $8\leq E_{c}^{II}\leq3 in which relaxation rules were unbalanced. The results suggest that the hypothesis of a precise relaxation balance could be a specific case of a more general rule

Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time

This article describes a versatile family of functions increasingly roughened by successive interpolations. They provide models of the variation of financial prices. More importantly, they are helpful “cartoons” of Brownian motions in multifractal time, BMMT, which are better models described in the next article. Ordinary Brownian motion and two models the author proposed in the 1960s correspond to special cartoons. More general cartoons are richer in structure but (by choice) remain parsimonious and easily computed. Their outputs reproduce the main features of financial prices: continually varying volatility, discontinuity or concentration, and other events far outside the mildly behaving Brownian “norm.

Large Deviations and the Distribution of Price Changes

The Multifractal Model of Asset Returns ("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes' increments over finite time intervals. In the present paper, we discuss the local behavior of multifractal processes. We employ local Holder exponents, a fundamental concept in real analysis that describes the local scaling properties of a realized path at any point in time. In contrast with the standard models of continuous time finance, multifractal processes contain a multiplicity of local Holder exponents within any finite time interval. We characterize the distribution of Holder exponents by the multifractal spectrum of the process. For a broad class of multifractal processes, this distribution can be obtained by an application of Cramer's Large Deviation Theory. In an alternative interpretation, the multifractal spectrum describes the fractal dimension of the set of points having a given local Holder exponent. Finally, we show how to obtain processes with varied spectra. This allows the applied researcher to relate an empirical estimate of the multifractal spectrum back to a particular construction of the Stochastic process.Multifractal model of asset returns, multifractal spectrum, compound stochastic process, subordinated stochastic process, time deformation, scaling laws, self-similarity, self-affinity

Multifractality of Deutschemark/US Dollar Exchange Rates

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically, researchers introduce temporal heterogeneity through time-varying conditional second moments in a discrete time framework. Multifractality introduces a new source of heterogeneity through time-varying local regularity in the price path. The concept of local Holder exponent describes local regularity. Multifractal processes bridge the gap between locally Gaussian (Ito) diffusions and jump-diffusions by allowing a multiplicity of Holder exponents. This paper investigates multifractality in Deutschemark/US Dollar currency exchange rates. After finding evidence of multifractal scaling, we show how to estimate the multifractal spectrum via the Legendre transform. The scaling laws found in the data are replicated in simulations. Further simulation experiments test whether alternative representations, such as FIGARCH, are likely to replicate the multifractal signature of the Deutschemark/US Dollar data. On the basis of this evidence, the MMAR hypothesis appears more likely. Overall, the MMAR is quite successful in uncovering a previously unseen empirical regularity. Additionally, the model generates realistic sample paths, and opens the door to new theoretical and applied approaches to asset pricing and risk valuation. We conclude by advocating further empirical study of multifractality in financial data, along with more intensive study of estimation techniques and inference procedures.Multifractal model of asset returns, multifractal process, compound stochastic process, trading time, time deformation, scaling laws, multiscaling, self-similarity, self-affinity

viii + 210 pp., $5.00John G.KemenyJ. LaurieSnellFinite Markov Chains1960van NostrandNew York

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(Janua Linguarum, Series Maior, IV)GustavHerdanType Token Mathematics( + 110 pp. of indices and tables of functions). 54 Dutch GL, approx. 14.00A Textbook of Mathematical Linguistics1960Mouton & CieNew York and Londoniv(Janua Linguarum, Series Maior, IV)GustavHerdanType Token Mathematics(+ 110 pp. of indices and tables of functions). 54 Dutch GL, approx. 14.00A Textbook of Mathematical Linguistics1960Mouton & CieThe Hague338

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Distributed byMarkKacStatistical Independence in Probability, Analysis and Number Theory3.00CarusMathematicalMonographNo.121959JohnWileyCambridge,Massachusetts93DistributedbyMarkKacProbabilityandRelatedTopicsinPhysicalSciences3.00Carus Mathematical Monograph No. 121959John WileyCambridge, Massachusetts93Distributed byMarkKacProbability and Related Topics in Physical Sciences5.60Lectures on Applied MathematicsVol. I1958Interscience PublishersNew York266Paper by Robert FortetI.KaplanskyE.HewittM.HallJr.R.FortetRecent Advances in Probability Theory, in Some Aspects of Analysis and Probability$9.00Surveys in Applied MathematicsVol. IV1958John WileyNew York169240

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Multifractal Products of Cylindrical Pulses

A new class of random multiplicative and statistically self-similar measures is defned on IR. It is the limit of measure-valued martingales constructed by multiplying random functions attached to the points of a statistically self-similar Poisson point process in a strip of the plane. Several fundamental problems are solved, including the non-degeneracy and the distribution of the limit measure, mu; the finiteness of the (positive and negative) moments of the total mass of mu restricted to bounded intervals. Compared to the familiar canonical multifractals generated by multiplicative cascades, the new measures and their multifractal analysis exhibit strikingly novel features which are discussed in detail