In this paper we perform multifractal analyses of five daily Foreign Exchange (FX) rates. These techniques are currently used in turbulence to characterize scaling and intermittency. We show the multifractal nature of FX returns, and estimate the three parameters in the universal multifactal framework, which characterize all small and medium intensity fluctuations, at all scales.…
Applied Stochastic Models and Data Analysis Template
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About the Applied Stochastic Models and Data Analysis format
Applied Stochastic Models and Data Analysis is a peer-reviewed journal published by Wiley, covering Statistical Distribution Estimation and Applications, Statistical Methods and Bayesian Inference, Reliability and Maintenance Optimization.
| Publisher | Wiley |
|---|---|
| Reference style | Author–year (Chicago) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Applied Stochastic Models and Data Analysis 12 (3): 45–58.
Formats any DOI in Applied Stochastic Models and Data Analysis style. No sign-up. |
| Publishes research in | Statistical Distribution Estimation and Applications Statistical Methods and Bayesian Inference Reliability and Maintenance Optimization Forecasting Techniques and Applications Advanced Queuing Theory Analysis |
| ISSN | 1099-0747 |
| h-index | 30 |
| i10-index | 98 |
| Total citations | 3,706 |
| Top institutions publishing here | IBM (United States) |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
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Most-cited papers in Applied Stochastic Models and Data Analysis
For applications in finance, we study the stochastic differential equation dXs = (2βXs + δs) ds + g(Xs) dBs with β a negative real number, g a continuous function vanishing at zero which satisfies a Hölder condition and δ a measurable and adapted stochastic process such that ∫t0 δu du < ∞ a.e. for all…
Abstract The practical aspects of interpreting multiple correspondence analysis are reviewed. The geometric concepts associated with simple correspondence analysis are shown to be inadequate for multiple correspondence analysis. An alternative approach, called joint correspondence analysis, is shown to be a more natural generalization of the simple case. The practical interpretation of homogeneity analysis is also…
A mixture distribution involving two two-parameter Weibull distributions is characterized by five parameters. The shape of the failure rate function for the mixture depends on the parameter values and can be one of eight distinct shapes. In this paper we present a complete parametric characterization of the shapes for the failure rate function for the…