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

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dc.creatorBorland, Lisa
dc.creatorBouchaud, Jean-Philippe
dc.creatorMuzy, Jean-Francois
dc.creatorZumbach, Gilles
dc.date2005-01-12
dc.date.accessioned2026-07-07T12:07:04Z
dc.date.available2026-07-07T12:07:04Z
dc.descriptionThis 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.
dc.description24 pages, to appear in Wilmott Magazine special issue for Mandelbrot
dc.identifierhttps://arxiv.org/abs/cond-mat/0501292
dc.identifierhttp://arxiv.org/abs/cond-mat/0501292
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208843
dc.subjectOther Condensed Matter
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleThe Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
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