A multivariate multifractal model for return fluctuations

E. Bacry, J. Delour and J. F. Muzy
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E. Bacry: CMAP, Ecole Polytechnique Palaiseau France
J. Delour: CRPP, Pessac France
J. F. Muzy: CRPP, Pessac France

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Abstract: 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 focus on its extension to a multivariate context in order to model portfolio behavior. Empirical estimations on real data suggest that this approach can be pertinent to account for the nature of both linear and non-linear correlation between stock returns at all time scales.

Date: 2000-09
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0009260

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