A Cautionary note on modeling with fractional Levy flights

Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Levy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional Levy flights which are inherently problematic. (C) 2008 Elsevier B.V. All rights reserved.