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# 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} }

- Published 2003 in International Conference on Computational Science
DOI:10.1007/3-540-44860-8_42

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