A multivariate multifractal model for return fluctuations

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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.
To be published in the Proceeding of the APFA2 conference (Liege, Belgium, July 2000) in the journal Quantitative Finance

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Statistical Mechanics, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208663

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0009260
 http://arxiv.org/abs/cond-mat/0009260

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arXiv