Estimating the p-variation index of a sample function: An application to financial data set
arXiv:math/0012098
Abstract
This paper modifies a box-counting method of estimating a fractal dimension of a graph, and applies it to estimate the roughness of a sample function of a stochastic process such as a Levy process or a Gaussian process with stationary increments
24 pages, 6 figures, LaTex