英文标题：
《Multiplicative random cascades with additional stochastic process in
  financial markets》
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作者：
Jun-ichi Maskawa, Koji Kuroda and Joshin Murai
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最新提交年份：
2018
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英文摘要：
  Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the validity of a multiplicative hierarchical random cascade model through an empirical study using financial data. Although the intermittency and multifractality of the time series are verified, random multiplicative factors linking successive hierarchical layers show strongly negative correlation. We extend the multiplicative model to incorporate an additional stochastic term. Results show that the proposed model is consistent with all the empirical results presented here.
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中文摘要：
乘法随机级联模型自然地再现了间歇性或多重分形，这在诸如湍流和金融市场等层次复杂系统中经常出现。如本文所述，我们通过使用财务数据的实证研究来研究乘法层次随机级联模型的有效性。虽然时间序列的间歇性和多重分形性得到了验证，但连接连续层次的随机乘性因子表现出强烈的负相关。我们扩展了乘法模型，加入了额外的随机项。结果表明，所提出的模型与本文给出的所有实证结果是一致的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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