Modelling financial time series using multifractal random walks
Year of publication: |
2001
|
---|---|
Authors: | Bacry, E. ; Delour, J. ; Muzy, J.F. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 299.2001, 1, p. 84-92
|
Publisher: |
Elsevier |
Subject: | Multifractals | Long-range correlations | Stochastic volatility | Multiplicative cascades |
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