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cond-mat.stat-mech2003★ 48 cited
A causal multifractal stochastic equation and its statistical properties
Francois G. Schmitt
Multiplicative cascades have been introduced in turbulence to generate random or deterministic fields having intermittent values and long-range power-law correlations. Generally th…
cond-mat.stat-mech2001
Multifractal fluctuations in finance
F. Schmitt, D. Schertzer, S. Lovejoy
We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q…