2 papers
q-fin.ST2020
Model of continuous random cascade processes in financial markets
Jun-ichi Maskawa, Koji Kuroda
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources tr…
q-fin.ST2018
Multiplicative random cascades with additional stochastic process in financial markets
Jun-ichi Maskawa, Koji Kuroda, Joshin Murai
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and f…