A multivariate multifractal model for return fluctuations

Details A multivariate multifractal model for return fluctuations A multivariate multifractal model for return fluctuations

2000-09-18

arxiv.org/abs/cond-mat/0009260v1

Physics

Condensed Matter

Statistical Mechanics

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

Scientific paper

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.

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