Multifractal models for asset prices

Emmanuel Bacry () and J.-F. Muzy ()
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Emmanuel Bacry: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
J.-F. Muzy: SPE - Laboratoire « Sciences pour l’Environnement » (UMR CNRS 6134 SPE) - CNRS - Centre National de la Recherche Scientifique - Università di Corsica Pasquale Paoli [Université de Corse Pascal Paoli]

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Abstract: We present an overview of multifractal models of asset returns. All the proposed models rely upon the notion of random multiplicative cascades. We focus in more details on the simplest of such models namely the log-normal multifractal random walk. This model can be seen as a stochastic volatility model where the (log-) volatility has a peculiar long-range correlated memory. We briefly address calibration issues of such models and their applications to volatility and Value at Risk (VaR) forecasting.

Date: 2010-05-15
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Citations: View citations in EconPapers (2)

Published in Encyclopedia of quantitative finance, 2010, pp.1-10. ⟨10.1002/9780470061602.eqf20004⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00604441

DOI: 10.1002/9780470061602.eqf20004

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