A multivariate multifractal model for return fluctuations

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dc.creatorBacry, E.
dc.creatorDelour, J.
dc.creatorMuzy, J. F.
dc.date2000-09-18
dc.date.accessioned2026-07-07T12:06:28Z
dc.date.available2026-07-07T12:06:28Z
dc.descriptionIn 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.
dc.descriptionTo be published in the Proceeding of the APFA2 conference (Liege, Belgium, July 2000) in the journal Quantitative Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/0009260
dc.identifierhttp://arxiv.org/abs/cond-mat/0009260
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208663
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleA multivariate multifractal model for return fluctuations
dc.typetext

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