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Time Change, Volatility, and Turbulence

  • Ole E. Barndorff-Nielsen
  • Jürgen Schmiegel

Summary

A concept of volatility modulated Volterra processes is introduced. Apart from some brief discussion of generalities, the paper focusses on the special case of backward moving average processes driven by Brownian motion. In this framework, a review is given of some recent modelling of turbulent velocities and associated questions of time change and universality. A discussion of similarities and differences to the dynamics of financial price processes is included.

Keywords

Time Change Fractional Brownian Motion Inertial Range Stochastic Volatility Modelling Velocity Increment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Ole E. Barndorff-Nielsen
    • 1
  • Jürgen Schmiegel
    • 1
  1. 1.The T.N. Thiele Centre for Applied Mathematics in Natural Science, Department of Mathematical SciencesUniversity of AarhusAarhus CDenmark

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