Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns

Abstract. We present the construction of a continuous time stochastic process which has moments that satisfy an exact scaling relation, including odd order moments. It is based on a natural extension of the MRW construction described in [3]. This allows us to propose a continuous time model for the price of a financial asset that reflects most major stylized facts observed on real data, including asymmetry and multifractal scaling.

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