The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond

Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy and Gilles Zumbach
Additional contact information
Lisa Borland: Evnine-Vaughan Associates, Inc.
Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Jean-Francois Muzy: Centre de Recherche Paul Pascal, Pessac, FRANCE
Gilles Zumbach: Consulting in Financial Research

No 500061, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

Abstract: This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial time series, in particular the intermittent, long-memory nature of the volatility. We describe in details the Bacry-Muzy-Delour multifractal random walk. We point out some inadequacies of the current models, in particular concerning time reversal symmetry, and propose an alternative family of multi-timescale models, intermediate between GARCH models and multifractal models, that seem quite promising.

JEL-codes: G10 (search for similar items in EconPapers)
Date: 2005-01
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk, nep-ict and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sfi:sfiwpa:500061

Access Statistics for this paper

More papers in Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management 6 boulevard Haussmann, 75009 Paris, FRANCE. Contact information at EDIRC.
Bibliographic data for series maintained by ().