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Physica A: Statistical Mechanics and its Applications

Volumn 299, Issue 1-2, 2001, Pages 84-92

Modelling financial time series using multifractal random walks

(3) Bacry, E a Delour, J b Muzy, J F b,c

a CENTRE DE MATHÉMATIQUES APPLIQUÉES (France)

b CENTRE DE RECHERCHE PAUL PASCAL (France)

c UNIVERSITÉ DE CORSE (France)

Author keywords

Long range correlations; Multifractals; Multiplicative cascades; Stochastic volatility

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; FINANCE; FRACTALS; MATHEMATICAL MODELS; RANDOM PROCESSES; TIME SERIES ANALYSIS;

MULTIFRACTAL RANDOM WALKS (MRW);

FINANCIAL DATA PROCESSING;

EID: 0035471694 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4371(01)00284-9 Document Type: Conference Paper

Times cited : (95)

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