1 is Brownian motion. Most of the
values form a band of approximately constant width (independence), and the values
outside this band are mostly very small (large jumps are rare). |
2 is a Levy process. Most of the values form a
band of approximately constant width (independence), but a considerable number of
values outside this band are large (large jumps are not rare). |
3 is fractional Brownian motion. Most of the values form
a band, but of varying width (dependence), and the values outside this band are mostly
very small (large jumps are rare). |
4 is a multifractal forgery. |
5 is successive differences in IBM prices. |
6 is successive differences in dollar-Deutschmark exchange rates. |
7 is a multifractal forgery. |
8 is a multifractal forgery. |