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Can I read Modelling Financial Time Series Using Multifractal Random Walks on EtoBox?
Modelling Financial Time Series Using Multifractal Random Walks by E. Bacry; J. Delour; J.F. Muzy is a Physics and Astronomy article available to read on EtoBox.
What is Modelling Financial Time Series Using Multifractal Random Walks about?
Multifractal random walks (MRW) correspond to simple solvable "stochastic volatility" processes. Moreover, they provide a simple interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that they are able to reproduce most of the recent empirical ÿndings concerning ÿnancial time series: no correlation between price variations, long-range volatility correlations and multifractal statistics.
Who reads Modelling Financial Time Series Using Multifractal Random Walks?
It is typically read by researchers, students, and practitioners in Physics and Astronomy.
- Author
- E. Bacry; J. Delour; J.F. Muzy
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-4371)
- Published
- 2001
- Language
- EN
- Field
- Physics and Astronomy (Physical Sciences)