We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...

The growing interest in financial markets microstructure and the fact that financial professionals have access to huge intraday databases have made high-frequency data modelling a hot issue in recent empirical finance literature. We analyse the main issues that are at stake when analysing...