49 citations · 50 across the 2 of their papers we have counts for
6 papers
Consistency of detrended fluctuation analysis
Ola Løvsletten
The scaling function in detrended fluctuation analysis (DFA) scales as for stochastic processes with Hurst exponents . We prove this scaling law for both…
A multifractal approach towards inference in finance
Ola Løvsletten, Martin Rypdal
We introduce tools for inference in the multifractal random walk introduced by Bacry et al. (2001). These tools include formulas for smoothing, filtering and volatility forecasting…
Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
Martin Rypdal, Espen Sirnes, Ola Løvsletten +1
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month thes…
Modeling electricity spot prices using mean-reverting multifractal processes
Martin Rypdal, Ola Løvsletten
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multif…
Approximated maximum likelihood estimation in multifractal random walks
Ola Løvsletten, Martin Rypdal
We present an approximated maximum likelihood method for the multifractal random walk processes of [E. Bacry et al., Phys. Rev. E 64, 026103 (2001)]. The likelihood is computed usi…
Multifractal modeling of short-term interest rates
M. Rypdal, O. Løvsletten
We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect obs…