A multivariate multifractal model for return fluctuations

Дата и время публикации : 2000-09-18T11:51:58Z

Авторы публикации и институты :
E. Bacry (CMAP, Ecole Polytechnique Palaiseau France)
J. Delour (CRPP, Pessac France)
J. F. Muzy (CRPP, Pessac France, Universite de Corse, Corte, France)

Ссылка на журнал-издание: Ссылка на журнал-издание не найдена
Коментарии к cтатье: To be published in the Proceeding of the APFA2 conference (Liege, Belgium, July 2000) in the journal Quantitative Finance
Первичная категория: cond-mat.stat-mech

Все категории : cond-mat.stat-mech, q-fin.ST

Краткий обзор статьи: 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.

Category: Physics