Multifractal products of stochastic processes: construction and some basic properties

Abstract

In various fields, such as teletraffic and economics, measured time series have been reported to adhere to multifractal scaling. Classical cascading measures possess multifractal scaling, but their increments form a nonstationary process. To overcome this problem, we introduce a construction of random multifractal measures based on iterative multiplication of stationary stochastic processes, a special form of T-martingales. We study the ℒ2-convergence, nondegeneracy, and continuity of the limit process. Establishing a power law for its moments, we obtain a formula for the multifractal spectrum and hint at how to prove the full formalism.