A Cautionary note on modeling with fractional Lévy flights

C. C. Heyde; Allan Sly

doi:10.1016/j.physa.2008.05.029

A Cautionary note on modeling with fractional Lévy flights

C. C. Heyde, Allan Sly^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Lévy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional Lévy flights which are inherently problematic.

Original language	English
Pages (from-to)	5024-5032
Number of pages	9
Journal	Physica A: Statistical Mechanics and its Applications
Volume	387
Issue number	21
DOIs	https://doi.org/10.1016/j.physa.2008.05.029
Publication status	Published - 1 Sept 2008

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title = "A Cautionary note on modeling with fractional L{\'e}vy flights",

abstract = "Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional L{\'e}vy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional L{\'e}vy flights which are inherently problematic.",

keywords = "Fractional Levy flights, Multifractal, Self-similar",

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AU - Sly, Allan

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AB - Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Lévy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional Lévy flights which are inherently problematic.

KW - Fractional Levy flights

KW - Multifractal

KW - Self-similar

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DO - 10.1016/j.physa.2008.05.029

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EP - 5032

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 21

ER -

A Cautionary note on modeling with fractional Lévy flights

Abstract

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