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中文摘要：
依据金融资产多标度行为特征,从时间序列、标度结构两维度上建立波动级串模型,利用随机分割数和基元分割概率两个关键控制参量,将资产多标度波动递归表述成为积分标度波动特征,通过计算波动级串的高阶累积,建立资产多标度投资组合选择模型,进行多时间标度条件下的金融资产风险管理。
英文摘要：
A new volatility cascade model with two dimensions of time series and scale structure is built based on multiscale characteristics of financial assets.We use random partition number and fundamental segmentation probability as two key control parameters to recursively introduce multiscale properties into that of integral scale.Through calculating the higher order cumulants of volatility cascade,we construct the multiscale model of investment portfolio and risk management of financial assets.
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