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(1997 MMAR P2) Large Deviation Theory and The Distribution of Price Changes by LI is a document available to read on EtoBox.
The paper discusses the Multifractal Model of Asset Returns (MMAR) and its application to modeling financial price changes through multifractal processes. It emphasizes the local behavior of these processes using local Hölder exponents, which allows for a continuum of local scaling properties, contrasting with traditional financial models that limit the number of exponents. The authors derive the multifractal spectrum using Cramér’s Large Deviation Theory, providing a framework for relating empirical esti
- Author
- LI
- Language
- EN