Multifractal Model of Asset Returns versus real stock market dynamics

Details Multifractal Model of Asset Returns versus real stock market dynamics Multifractal Model of Asset Returns versus real stock market dynamics

2006-05-17

arxiv.org/abs/physics/0605147v2

Acta Phys. Pol. B 37, No 11, (2006), p3083.

Physics

Physics and Society

Presented at 2nd Polish Symposium of Econo- and Sociophysics, Krakow Poland, to be published in Acta Phys. Pol

Scientific paper

There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Returns (MMAR) introduced by Mandelbrot in which multifractality is carried by time deformation. In our study we focus on the Lux extension to MMAR and empirical data from Warsaw Stock Exchange. We show that this model is able to reproduce relevant aspects of the real stock market dynamics.

Affiliated with

Also associated with

No associations

Rating

Multifractal Model of Asset Returns versus real stock market dynamics 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 Multifractal Model of Asset Returns versus real stock market dynamics, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Multifractal Model of Asset Returns versus real stock market dynamics will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-490560