We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate framework to account simultaneously for correlations...

In this paper we briefly review the recently inrtroduced Multifractal Random Walk (MRW) that is able to reproduce most of recent empirical findings concerning financial time-series : no correlation between price variations, long-range volatility correlations and multifractal statistics. We then...

Multifractal random walks (MRW) correspond to simple solvable “stochastic volatility” processes. Moreover, they provide a simple interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that they are able to...

We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. Inspired by an analogy between price dynamics and hydrodynamic turbulence, it models the time scale dependence of the probability distribution...