Stochastic Simulation of Time Series by Using the Spatial-Temporal Weierstrass Function

@inproceedings{Kutner2003StochasticSO,
  title={Stochastic Simulation of Time Series by Using the Spatial-Temporal Weierstrass Function},
  author={Ryszard Kutner and Filip Switaa},
  booktitle={International Conference on Computational Science},
  year={2003}
}
We extend the recently considered toy model of Weierstrass (or Lévy) walks with varying velocity of the walker [1,2] by introducing a more realistic possibility that the walk can be occasionally intermitted by its momentary localization; the localizations themselves are again described by the Weierstrass (or Lévy) process. The direct empirical motivation for developing this combined model is, for example, the dynamics of financial high-frequency time series or meteorological ones. This approach… CONTINUE READING