Modelling financial time series using multifractal random walks

被引：83

作者：

Bacry, E ^{[1
]}

Delour, J

Muzy, JF

机构：

[1] Ecole Polytech, Ctr Math Appliquees, F-91128 Palaiseau, France

[2] Ctr Rech Paul Pascal, F-33600 Pessac, France

[3] Univ Corse, UMR 6134 CNRS, F-20250 Corte, France

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2001年 / 299卷 / 1-2期

关键词：

multifractals; long-range correlations; stochastic volatility; multiplicative cascades;

D O I：

10.1016/S0378-4371(01)00284-9

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 findings concerning financial time series: no correlation between price variations, long-range volatility correlations and multifractal statistics. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：84 / 92

页数：9

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