Search Results - subject:"multifractal spectrum"

Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR

Maglione, Federico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2015

Benoît Mandelbrot, the father of Fractal Geometry, developed a multifractal model for describing price changes. Despite the commonly used models, such as the Brownian motion, the Mutifractal Model of Asset Return (MMAR) takes into account scale-consistency, long-range dependence and heavy...

Persistent link: https://www.econbiz.de/10011200021

Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR

Maglione, Federico - 2015

Persistent link: https://www.econbiz.de/10011632222

Fractal Measures in Market Microstructure Research

Yalamova, Rossitsa - In: Multinational Finance Journal 16 (2012) 1-2, pp. 137-154

This paper proposes the generalized use of fractional Brownian motion in a multifractal trading time framework to reveal variation in the index price diffusion process that appears before and after 'extreme' events of distinct origin. "Crashes" following internal self-organization and those...

Persistent link: https://www.econbiz.de/10010934072

Large Deviations and the Distribution of Price Changes

Calvet, Laurent; Fisher, Adlai; Mandelbrot, Benoit - Cowles Foundation for Research in Economics, Yale University - 1997

characterize the distribution of Holder exponents by the multifractal spectrum of the process. For a broad class of multifractal … interpretation, the multifractal spectrum describes the fractal dimension of the set of points having a given local Holder exponent … estimate of the multifractal spectrum back to a particular construction of the Stochastic process. …

Persistent link: https://www.econbiz.de/10005463933