Scaling in financial prices: IV. multifractal concentration

Quantitative Finance

Volumn 1, Issue 6, 2001, Pages 641-649

  Mandelbrot, Benoit B ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85012476771     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/1/6/306     Document Type: Article

References (13)

1. Cootner P H (ed) 1964 The Random Character of Stock Market Prices (Cambridge, MA: MIT Press)
2. Mandelbrot B B 1963 J. Business (Chicago) 36 394–419 (reprinted in Cootner 1964, as ch E 14 of Mandelbrot 1997, pp 371–411, in Telser 2000, and in several other collections of papers on finance)
3. Mandelbrot B B 1965 C. R. Acad. Sci., Paris 260 3274–7 (transl. Mandelbrot 2001c, ch H9)
4. Mandelbrot B B 1982 The Fractal Geometry of Nature (San Francisco: Freeman)
5. Mandelbrot B B 1997 Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (Selecta Vol. E) (Berlin: Springer)
6. Mandelbrot B B 1999a Multifractals and 1/f Noise: Wild Self-Affinity in Physics (Selecta Vol. N) (Berlin: Springer)
7. Mandelbrot B B 1999b Sci. Am. February 50–3
8. Mandelbrot B B 2001a Quant. Finance 1 113–24
9. Mandelbrot B B 2001b Quant. Finance 1 124–30
10. Mandelbrot B B 2001c Gaussian Self-Affinity and Fractals (Selecta Vol. H) (Berlin: Springer)
11. Mandelbrot B B 2001d Quant. Finance 1 427–40
12. Mandelbrot B B, Calvet L and Fisher A 1997 The Multifractal Model of Asset Returns. Large Deviations and the Distribution of Price Changes. The Multifractality of the Deutschmark/US Dollar Exchange Rate three discussion papers (nos 1164, 1165 and 1166) of the Cowles Foundation for Economics at Yale University http://papers.ssrn.com/sol3/paper.taf?Additionaldataonthefirstpaper:ABSTRACTID=78588. Second paper: ABSTRACT ID=78608.Third paper:ABSTRACTID=78628.
13. Telser L (ed) 2000 Classic Futures (London: Risk Books)