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A Cautionary note on modeling with fractional Lévy flights |
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| Authors: | CC Heyde Allan Sly |
| Institution: | a Columbia University, USA b The Australian National University, Australia c Department of Statistics, University of California Berkeley, Berkeley, CA 94720, USA |
| 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. |
| Keywords: | Self-similar Multifractal Fractional Levy flights |
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