A multifractal approach towards inference in finance

Details A multifractal approach towards inference in finance A multifractal approach towards inference in finance

2012-02-24

arxiv.org/abs/1202.5376v1

Economy

Quantitative Finance

Statistical Finance

8 pages, 3 figures

Scientific paper

We introduce tools for inference in the multifractal random walk introduced by Bacry et al. (2001). These tools include formulas for smoothing, filtering and volatility forecasting. In addition, we present methods for computing conditional densities for one- and multi-step returns. The inference techniques presented in this paper, including maximum likelihood estimation, are applied to data from the Oslo Stock Exchange, and it is observed that the volatility forecasts based on the multifractal random walk have a much richer structure than the forecasts obtained from a basic stochastic volatility model.

Affiliated with

Also associated with

No associations

Rating

A multifractal approach towards inference in finance does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A multifractal approach towards inference in finance, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A multifractal approach towards inference in finance will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-78201