Generation of Multifractal Signals with an Underlying Branching Structure.
by Geoffrey Decrouez
Abstract: I will present a new class of fractal processes, called Multifractal Embedded Branching Process (MEBP), which possess an underlying branching structure. MEBP are obtained via a multifractal time change of a discrete self-similar process, the Canonical EBP (CEBP). After reviewing conditions of existence and continuity of MEBP, I will derive an upper bound of the multifractal spectrum of the time change and prove that CEBP are monofractals. Subordinated Brownian motions are particular cases of MEBP processes, which suggests a potential application of MEBP in finance.
Finally, we will see that fractional Brownian motions can be well approximated using a MEBP.
For More Information: Contact: Paul Pearce (P.Pearce@ms.unimelb.edu.au) Paul Norbury (P.Norbury@ms.unimelb.edu.au)