most citedModeling First Line Of An Order Book With Multivariate Marked Point Processes

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math.PR2012

Multifractal random walks with fractional Brownian motion via Malliavin calculus

Alexis Fauth, Ciprian Tudor

We introduce a Multifractal Random Walk (MRW) defined as a stochastic integral of an infinitely divisible noise with respect to a dependent fractional Brownian motion. Using the te…