| We introduce a simple way to generate random signals having correlations and
many large jumps. |
| Properly tuned, this is a cartoon of stock market behavior. |
| Additionally we see that a multifractal rescaling of time can
separate the effects of large jumps and long-term correlations. |
| Random Fractal Cartoons
Surprisingly simple cartoons can capture both the dependence on history of fractional
Brownian motion, and the prevelance of large steps of Levy flights. |
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| These cartoons provide remarkably good
surrogates of the stock market.
Even experienced brokers cannot distinguish real data from fakes generated by the
cartoons. Moreover, careful study of the cartoons reveals a way to disentangle the
effects of history and big jumps, by rescaling time. |
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