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Benoît B. Mandelbrot
(Benoit B. Mandelbrot)

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Benoit B. Mandelbrot, 2000. "Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time," Cowles Foundation Discussion Papers 1256, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Djahoué Mangblé Gérald, 2018. "Estimating and Forecasting West Africa Stock Market Volatility Using Asymmetric GARCH Models," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-4.

  2. Benoit Mandelbrot, 1999. "Survey of Multifractality in Finance," Cowles Foundation Discussion Papers 1238, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Federico Maglione, 2015. "Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR," Working Papers 2015:05, Department of Economics, University of Venice "Ca' Foscari".
    2. Dong Liu & Mingjie Luo & Qiang Fu & Yongjia Zhang & Khan Imran & Dan Zhao & Tianxiao Li & Faiz Abrar, 2016. "Precipitation Complexity Measurement Using Multifractal Spectra Empirical Mode Decomposition Detrended Fluctuation Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 505-522, January.
    3. Alexandros Leontitsis & Constantinos E. Vorlow, 2005. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Papers physics/0504187, arXiv.org.
    4. Li, Jiang-Cheng & Tang, Nian-Sheng & Mei, Dong-Cheng & Li, Yun-Xian & Zhang, Wan, 2016. "The trading time risks of stock investment in stock price drop," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 778-787.
    5. Dong Liu & Mingjie Luo & Qiang Fu & Yongjia Zhang & Khan M. Imran & Dan Zhao & Tianxiao Li & Faiz M. Abrar, 2016. "Precipitation Complexity Measurement Using Multifractal Spectra Empirical Mode Decomposition Detrended Fluctuation Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 505-522, January.
    6. Traversaro, Francisco & Redelico, Francisco O., 2018. "Characterization of autoregressive processes using entropic quantifiers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 13-23.

  3. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Kwapień, J. & Drożdż, S. & Oświe¸cimka, P., 2006. "The bulk of the stock market correlation matrix is not pure noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 589-606.
    2. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
    3. Brandi, Giuseppe & Di Matteo, T., 2022. "Multiscaling and rough volatility: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
    5. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
    6. Shang, Pengjian & Lu, Yongbo & Kama, Santi, 2006. "The application of Hölder exponent to traffic congestion warning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 769-776.
    7. Kwapień, J. & Oświe¸cimka, P. & Drożdż, S., 2005. "Components of multifractality in high-frequency stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 466-474.
    8. Giuseppe Brandi & T. Di Matteo, 2022. "Multiscaling and rough volatility: an empirical investigation," Papers 2201.10466, arXiv.org.
    9. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
    10. Suárez-García, Pablo & Gómez-Ullate, David, 2014. "Multifractality and long memory of a financial index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 226-234.
    11. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    12. Pawe{l} O'swik{e}cimka & Stanis{l}aw Dro.zd.z & Mattia Frasca & Robert Gk{e}barowski & Natsue Yoshimura & Luciano Zunino & Ludovico Minati, 2020. "Wavelet-based discrimination of isolated singularities masquerading as multifractals in detrended fluctuation analyses," Papers 2004.03319, arXiv.org.
    13. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
    14. Călin Vamoş & Maria Crăciun & Nicolae Suciu, 2015. "Automatic algorithm to decompose discrete paths of fractional Brownian motion into self-similar intrinsic components," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(10), pages 1-10, October.
    15. Veysov, Alexander, 2012. "Financial System Classification: From Conventional Dichotomy to a More Modern View," MPRA Paper 40613, University Library of Munich, Germany.
    16. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
    17. Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Estimating low sampling frequency risk measure by high-frequency data," IRTG 1792 Discussion Papers 2019-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    18. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "A Multifractal Model of Asset Returns," Working Papers hal-00601870, HAL.
    19. Oświe¸cimka, P. & Kwapień, J. & Drożdż, S., 2005. "Multifractality in the stock market: price increments versus waiting times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 626-638.
    20. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    21. Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
    22. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
    23. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2001. "Forecasting multifractal volatility," Post-Print hal-00477952, HAL.
    24. Schadner, Wolfgang, 2022. "U.S. Politics from a multifractal perspective," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    25. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    26. Céline Azizieh & Wolfgang Breymann, 2005. "Estimation of the Stylized Facts of a Stochastic Cascade Model," Working Papers CEB 05-009.RS, ULB -- Universite Libre de Bruxelles.
    27. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2013. "Multifractality and long memory of a financial index," Papers 1306.0490, arXiv.org.
    28. Grahovac, Danijel & Leonenko, Nikolai N., 2014. "Detecting multifractal stochastic processes under heavy-tailed effects," Chaos, Solitons & Fractals, Elsevier, vol. 65(C), pages 78-89.
    29. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    30. Mandelbrot, Benoit B., 1999. "Renormalization and fixed points in finance, since 1962," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 263(1), pages 477-487.
    31. Halbleib, Roxana & Dimitriadis, Timo, 2019. "How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203669, Verein für Socialpolitik / German Economic Association.
    32. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    33. Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
    34. Cornelis A. Los, 2005. "The Degree of Stability of Price Diffusion," Finance 0508006, University Library of Munich, Germany.
    35. Nicolas Boitout & Loredana Ureche-Rangau, 2004. "Towards A Multifractal Paradigm Of Stochastic Volatility?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(07), pages 823-851.
    36. Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.

  4. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965, arXiv.org.
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Buonocore, R.J. & Aste, T. & Di Matteo, T., 2016. "Measuring multiscaling in financial time-series," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 38-47.
    4. Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
    5. Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.
    6. Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
    7. Arun Kumar & Palaniappan Vellaisamy, 2012. "Fractional Normal Inverse Gaussian Process," Methodology and Computing in Applied Probability, Springer, vol. 14(2), pages 263-283, June.
    8. Timothy DeLise, 2021. "Neural Options Pricing," Papers 2105.13320, arXiv.org.
    9. Olkhov, Victor, 2023. "The Market-Based Probability of Stock Returns," MPRA Paper 116234, University Library of Munich, Germany.
    10. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
    11. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
    12. Thomas Theobald, 2012. "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper 95-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    13. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
    14. Andria, Joseph & di Tollo, Giacomo & Kalda, Jaan, 2022. "The predictive power of power-laws: An empirical time-arrow based investigation," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
    15. Patrice Abry & Yannick Malevergne & Herwig Wendt & Marc Senneret & Laurent Jaffrès & Blaise Liaustrat, 2019. "Shuffling for understanding multifractality, application to asset price time series," Post-Print hal-02361738, HAL.
    16. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek, 2018. "Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017," Papers 1812.08548, arXiv.org, revised Jun 2019.
    17. Tetsuya Takaishi, 2019. "Rough volatility of Bitcoin," Papers 1904.12346, arXiv.org.
    18. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers 2004-05, Christian-Albrechts-University of Kiel, Department of Economics.
    19. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
    20. Rudy Morel & Gaspar Rochette & Roberto Leonarduzzi & Jean-Philippe Bouchaud & St'ephane Mallat, 2022. "Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra," Papers 2204.10177, arXiv.org, revised Jun 2023.
    21. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
    22. Phooi M’ng, Jacinta Chan, 2018. "Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 336-345.
    23. Lux, Thomas, 2004. "The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility," Economics Working Papers 2004-11, Christian-Albrechts-University of Kiel, Department of Economics.
    24. Lux, Thomas, 2003. "The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting," Economics Working Papers 2003-13, Christian-Albrechts-University of Kiel, Department of Economics.
    25. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    26. Sutthisit Jamdee & Cornelis A. Los, 2005. "Long Memory Options: LM Evidence and Simulations," Finance 0505003, University Library of Munich, Germany.
    27. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.).
    28. Brandi, Giuseppe & Di Matteo, T., 2022. "Multiscaling and rough volatility: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 84(C).
    29. Caraiani, Petre & Haven, Emmanuel, 2015. "Evidence of multifractality from CEE exchange rates against Euro," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 395-407.
    30. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
    31. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
    32. Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, University Library of Munich, Germany.
    33. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
    34. Olkhov, Victor, 2019. "New Essentials of Economic Theory III. Economic Applications," MPRA Paper 94053, University Library of Munich, Germany.
    35. J. Lussange & A. Belianin & S. Bourgeois-Gironde & B. Gutkin, 2018. "A bright future for financial agent-based models," Papers 1801.08222, arXiv.org.
    36. Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics 88, Department of Economics and Law, Sapienza University of Roma.
    37. Mensi, Walid & Hamdi, Atef & Shahzad, Syed Jawad Hussain & Shafiullah, Muhammad & Al-Yahyaee, Khamis Hamed, 2018. "Modeling cross-correlations and efficiency of Islamic and conventional banks from Saudi Arabia: Evidence from MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 576-589.
    38. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
    39. Máté, Gabriell & Heermann, Dieter W., 2014. "Persistence intervals of fractals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 252-259.
    40. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
    41. R. Fernández-Pascual & M. Ruiz-Medina & J. Angulo, 2003. "Multiscale estimation of processes related to the fractional Black-Scholes equation," Computational Statistics, Springer, vol. 18(3), pages 401-415, September.
    42. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
    43. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
    44. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    45. Wen Fang & Jun Wang, 2012. "Statistical Properties And Multifractal Behaviors Of Market Returns By Ising Dynamic Systems," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-14.
    46. Raza, Syed Ali & Shah, Nida & Suleman, Muhammed Tahir, 2024. "A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic," International Economics, Elsevier, vol. 177(C).
    47. Indranil Mukherjee & Amitava Sarkar, 2011. "Complexity, Financial Markets and their Scaling Laws," DEGIT Conference Papers c016_008, DEGIT, Dynamics, Economic Growth, and International Trade.
    48. Faheem Aslam & Saqib Aziz & Duc K. Nguyen & Khurram S. Mughal & Maaz Khan, 2020. "On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic," Working Papers 2020-010, Department of Research, Ipag Business School.
    49. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society.
    50. Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
    51. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005. "The volatility of realized volatility," CFS Working Paper Series 2005/33, Center for Financial Studies (CFS).
    52. Giuseppe Brandi & T. Di Matteo, 2022. "Multiscaling and rough volatility: an empirical investigation," Papers 2201.10466, arXiv.org.
    53. Yufang Liu & Weiguo Zhang & Junhui Fu & Xiang Wu, 2020. "Multifractal Analysis of Realized Volatilities in Chinese Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 319-336, August.
    54. M. Rypdal & O. L{o}vsletten, 2011. "Multifractal modeling of short-term interest rates," Papers 1111.5265, arXiv.org.
    55. Grahovac, Danijel, 2020. "Multifractal processes: Definition, properties and new examples," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
    56. Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
    57. Dmitry Ostrovsky, 2007. "Black–Scholes–Merton In Random Time: A New Stochastic Volatility Model With Path Dependence," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 847-872.
    58. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
    59. Lux, Thomas & Morales-Arias, Leonardo, 2009. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy (IfW Kiel).
    60. Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta, 2017. "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," CQE Working Papers 6117, Center for Quantitative Economics (CQE), University of Muenster.
    61. Krenar Avdulaj & Ladislav Kristoufek, 2020. "On Tail Dependence and Multifractality," Mathematics, MDPI, vol. 8(10), pages 1-13, October.
    62. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    63. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW Kiel).
    64. Patrice Abry & Yannick Malevergne & Herwig Wendt & Stéphane Jaffard & Marc Senneret & Laurent Jaffrès, 2022. "Foreign Exchange Multivariate Multifractal Analysis," Post-Print hal-03735497, HAL.
    65. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    66. Cornelis A. Los & Rossitsa M. Yalamova, 2004. "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance 0409050, University Library of Munich, Germany.
    67. Decrouez, Geoffrey & Hambly, Ben & Jones, Owen Dafydd, 2015. "The Hausdorff spectrum of a class of multifractal processes," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1541-1568.
    68. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
    69. Dr. Brian J. Jacobsen, 2005. "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005 5, Society for Computational Economics.
    70. Marañon, Matias & Kumral, Mustafa, 2018. "Exploring the Elliott Wave Principle to interpret metal commodity price cycles," Resources Policy, Elsevier, vol. 59(C), pages 125-138.
    71. Bhardwaj, Shivam & Chandrasekhar, E. & Seemala, Gopi K. & Gadre, Vikram M., 2020. "Characterization of ionospheric total electron content data using wavelet-based multifractal formalism," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
    72. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
    73. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    74. Ali, Naseem & Cal, Raúl Bayoán, 2019. "Scale evolution, intermittency and fluctuation relations in the near-wake of a wind turbine array," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 215-229.
    75. Thomas Lux, 2004. "Detecting Multifractal Properties In Asset Returns: The Failure Of The "Scaling Estimator"," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 481-491.
    76. M. A. H. Dempster, 2011. "Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 155-156.
    77. Wei, Yu & Huang, Dengshi, 2005. "Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Heng Seng index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 497-508.
    78. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
    79. Bikramaditya Ghosh & Spyros Papathanasiou & Dimitrios Kenourgios, 2022. "Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads," Sustainability, MDPI, vol. 14(21), pages 1-10, October.
    80. Selçuk, Faruk, 2004. "Financial earthquakes, aftershocks and scaling in emerging stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 306-316.
    81. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    82. Thomas Lux & Leonardo Morales-Arias, 2013. "Relative forecasting performance of volatility models: Monte Carlo evidence," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1375-1394, September.
    83. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.
    84. Chaker Aloui, 2003. "Long-Range Dependence in Daily Volatility on Tunisian Stock Market," Working Papers 0340, Economic Research Forum, revised Dec 2003.
    85. Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," NBER Working Papers 18078, National Bureau of Economic Research, Inc.
    86. Kaldasch, Joachim, 2014. "Evolutionary model of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 449-462.
    87. Ruipeng Liu & Rangan Gupta, 2022. "Investors’ Uncertainty and Forecasting Stock Market Volatility," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 327-337, July.
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    Cited by:

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    24. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.
    25. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
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    31. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    32. Scarlat, E.I. & Stan, Cristina & Cristescu, C.P., 2007. "Self-similar characteristics of the currency exchange rate in an economy in transition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 188-198.
    33. Stošić, Darko & Stošić, Dusan & Stošić, Tatijana & Stanley, H. Eugene, 2015. "Multifractal analysis of managed and independent float exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 13-18.
    34. Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka & Rafal Rak, 2010. "The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect," Papers 1011.2385, arXiv.org.
    35. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.
    36. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Differentiating intraday seasonalities through wavelet multi-scaling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 543-556.

Articles

  1. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.

    Cited by:

    1. Estrada, Fernando, 2011. "Benoit Mandelbrot (1924 - 2011 ) : A Greek among Romans," MPRA Paper 30563, University Library of Munich, Germany.
    2. Fernando Estrada, 2011. "Benoit Mandelbrot (1924-2010): a Greek among Romans," History of Economic Ideas, Fabrizio Serra Editore, Pisa - Roma, vol. 19(1), pages 9-16.
    3. Yuli Radev, 2015. "New dynamic disequilibrium," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 65-90.
    4. Ronny Mazzocchi, 2013. "Scope and Flaws of the New Neoclassical Synthesis," DEM Discussion Papers 2013/13, Department of Economics and Management.

  2. Benoit B. Mandelbrot, 2005. "The inescapable need for fractal tools in finance," Annals of Finance, Springer, vol. 1(2), pages 193-195, October.

    Cited by:

    1. A. K. M. Azhar & Vincent B. Y. Gan & W. A. T. Wan Abdullah & H. Zainuddin, 2015. "On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk," Papers 1512.09280, arXiv.org.

  3. J. Asikainen & A. Aharony & B. Mandelbrot & E. Rausch & J.-P. Hovi, 2003. "Fractal geometry of critical Potts clusters," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 34(4), pages 479-487, August.

    Cited by:

    1. Ilnytskyi, Jaroslav & Pikuta, Piotr & Ilnytskyi, Hryhoriy, 2018. "Stationary states and spatial patterning in the cellular automaton SEIS epidemiology model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 241-255.

  4. B. B. Mandelbrot, 2001. "Scaling in financial prices: II. Multifractals and the star equation," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 124-130.

    Cited by:

    1. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    2. Gao-Feng Gu & Wei-Xing Zhou, 2006. "Statistical properties of daily ensemble variables in the Chinese stock markets," Papers physics/0603147, arXiv.org.
    3. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
    4. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    5. M. A. H. Dempster, 2011. "Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 155-156.
    6. Wilhelm Berghorn & Martin T. Schulz & Markus Vogl & Sascha Otto, 2021. "Trend Momentum II: Driving Forces of Low Volatility and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 300-319, May.
    7. Chris Heyde, 2009. "Scaling issues for risky asset modelling," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 593-603, July.
    8. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    9. Wilhelm Berghorn & Sascha Otto, 2017. "Mandelbrot Market-Model and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 1-26, July.
    10. Jean de Carufel & Martin Brooks & Michael Stieber & Paul Britton, 2017. "A Topological Approach to Scaling in Financial Data," Papers 1710.08860, arXiv.org.

  5. B. B. Mandelbrot, 2001. "Stochastic volatility, power laws and long memory," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 558-559.

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
    2. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 115-123.
    3. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
    4. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, University Library of Munich, Germany.
    5. Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
    6. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
    7. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
    8. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
    9. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
    10. Steven N. Durlauf, 2005. "Complexity and Empirical Economics," Economic Journal, Royal Economic Society, vol. 115(504), pages 225-243, June.
    11. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
    12. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, University Library of Munich, Germany.
    13. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
    14. M. A. H. Dempster, 2011. "Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 155-156.
    15. Alfarano, Simone & Lux, Thomas, 2003. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2003-15, Christian-Albrechts-University of Kiel, Department of Economics.
    16. Mathieu, Philippe & Morvan, Rémi, 2019. "A deterministic behaviour for realistic price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 33-49.
    17. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
    18. Hans B Sieburg & Giulio Cattarossi & Christa E Muller-Sieburg, 2013. "Lifespan Differences in Hematopoietic Stem Cells are Due to Imperfect Repair and Unstable Mean-Reversion," PLOS Computational Biology, Public Library of Science, vol. 9(4), pages 1-15, April.
    19. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi, 2013. "The structure of gold and silver spread returns," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 561-570, March.
    20. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.

  6. B. B. Mandelbrot, 2001. "Scaling in financial prices: III. Cartoon Brownian motions in multifractal time," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 427-440.

    Cited by:

    1. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    2. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
    3. Suárez-García, Pablo & Gómez-Ullate, David, 2014. "Multifractality and long memory of a financial index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 226-234.
    4. Krenar Avdulaj & Ladislav Kristoufek, 2020. "On Tail Dependence and Multifractality," Mathematics, MDPI, vol. 8(10), pages 1-13, October.
    5. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    6. M. A. H. Dempster, 2011. "Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 155-156.
    7. Calabrese, Armando & Capece, Guendalina & Costa, Roberta & Di Pillo, Francesca & Giuffrida, Stefania, 2018. "A ‘power law’ based method to reduce size-related bias in indicators of knowledge performance: An application to university research assessment," Journal of Informetrics, Elsevier, vol. 12(4), pages 1263-1281.
    8. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    9. Wilhelm Berghorn & Sascha Otto, 2017. "Mandelbrot Market-Model and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 1-26, July.
    10. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2013. "Multifractality and long memory of a financial index," Papers 1306.0490, arXiv.org.
    11. Rossitsa Yalamova, 2012. "Fractal Measures in Market Microstructure Research," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 137-154, March - J.
    12. Jean de Carufel & Martin Brooks & Michael Stieber & Paul Britton, 2017. "A Topological Approach to Scaling in Financial Data," Papers 1710.08860, arXiv.org.

  7. B. B. Mandelbrot, 2001. "Scaling in financial prices: I. Tails and dependence," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 113-123.

    Cited by:

    1. Arun Kumar & Palaniappan Vellaisamy, 2012. "Fractional Normal Inverse Gaussian Process," Methodology and Computing in Applied Probability, Springer, vol. 14(2), pages 263-283, June.
    2. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    3. Gao-Feng Gu & Wei-Xing Zhou, 2006. "Statistical properties of daily ensemble variables in the Chinese stock markets," Papers physics/0603147, arXiv.org.
    4. Raj Aggarwal & Min Qi, 2009. "Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1083-1102.
    5. Heinrich, Torsten, 2016. "The Narrow and the Broad Approach to Evolutionary Modeling in Economics," MPRA Paper 75797, University Library of Munich, Germany.
    6. Kelvin J. L. Koa & Yunshan Ma & Ritchie Ng & Huanhuan Zheng & Tat-Seng Chua, 2024. "Temporal Relational Reasoning of Large Language Models for Detecting Stock Portfolio Crashes," Papers 2410.17266, arXiv.org.
    7. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
    8. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    9. Dr. Brian J. Jacobsen, 2005. "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005 5, Society for Computational Economics.
    10. M. A. H. Dempster, 2011. "Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 155-156.
    11. Wilhelm Berghorn & Martin T. Schulz & Markus Vogl & Sascha Otto, 2021. "Trend Momentum II: Driving Forces of Low Volatility and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 300-319, May.
    12. Chris Heyde, 2009. "Scaling issues for risky asset modelling," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 593-603, July.
    13. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
    14. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    15. A. K. M. Azhar & Vincent B. Y. Gan & W. A. T. Wan Abdullah & H. Zainuddin, 2015. "On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk," Papers 1512.09280, arXiv.org.
    16. Wilhelm Berghorn & Sascha Otto, 2017. "Mandelbrot Market-Model and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 1-26, July.
    17. Iacopo Giampaoli & Wing Lon Ng & Nick Constantinou, 2013. "Periodicities Of Foreign Exchange Markets And The Directional Change Power Law," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(3), pages 189-206, July.
    18. Jean de Carufel & Martin Brooks & Michael Stieber & Paul Britton, 2017. "A Topological Approach to Scaling in Financial Data," Papers 1710.08860, arXiv.org.

  8. B. B. Mandelbrot, 2001. "Scaling in financial prices: IV. Multifractal concentration," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 641-649.

    Cited by:

    1. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303.
    2. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    3. M. A. H. Dempster, 2011. "Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 155-156.
    4. Wilhelm Berghorn & Martin T. Schulz & Markus Vogl & Sascha Otto, 2021. "Trend Momentum II: Driving Forces of Low Volatility and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 300-319, May.
    5. Chris Heyde, 2009. "Scaling issues for risky asset modelling," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 593-603, July.
    6. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
    7. Sonali Agarwal & Anshul Vats, 2024. "A Comparative Study of Financial Crises: Fractal Dissection of Investor Rationality," Vision, , vol. 28(2), pages 193-209, April.
    8. Wilhelm Berghorn & Sascha Otto, 2017. "Mandelbrot Market-Model and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 1-26, July.
    9. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
    10. Mehmet Ali Balcı & Larissa M. Batrancea & Ömer Akgüller & Lucian Gaban & Mircea-Iosif Rus & Horia Tulai, 2022. "Fractality of Borsa Istanbul during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(14), pages 1-33, July.

  9. Mandelbrot, Benoit B., 1999. "Renormalization and fixed points in finance, since 1962," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 263(1), pages 477-487.

    Cited by:

    1. Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.
    2. Gregory G. Brunk, 2003. "Swarming of innovations, fractal patterns, and the historical time series of US patents," Scientometrics, Springer;Akadémiai Kiadó, vol. 56(1), pages 61-80, January.
    3. Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.

  10. Cioczek-Georges, R. & Mandelbrot, B. B., 1996. "Alternative micropulses and fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 64(2), pages 143-152, November.

    Cited by:

    1. Gaigalas, Raimundas, 2006. "A Poisson bridge between fractional Brownian motion and stable Lévy motion," Stochastic Processes and their Applications, Elsevier, vol. 116(3), pages 447-462, March.
    2. Jumarie, Guy, 2006. "Fractionalization of the complex-valued Brownian motion of order n using Riemann–Liouville derivative. Applications to mathematical finance and stochastic mechanics," Chaos, Solitons & Fractals, Elsevier, vol. 28(5), pages 1285-1305.
    3. Serge Cohen & Murad S. Taqqu, 2004. "Small and Large Scale Behavior of the Poissonized Telecom Process," Methodology and Computing in Applied Probability, Springer, vol. 6(4), pages 363-379, December.
    4. Jumarie, Guy, 2007. "Lagrangian mechanics of fractional order, Hamilton–Jacobi fractional PDE and Taylor’s series of nondifferentiable functions," Chaos, Solitons & Fractals, Elsevier, vol. 32(3), pages 969-987.
    5. Jumarie, Guy, 2008. "Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 271-287, February.
    6. Luis G. Gorostiza & Reyla A. Navarro & Eliane R. Rodrigues, 2004. "Some Long-Range Dependence Processes Arising from Fluctuations of Particle Systems," RePAd Working Paper Series lrsp-TRS401, Département des sciences administratives, UQO.
    7. Jumarie, Guy, 2009. "Probability calculus of fractional order and fractional Taylor’s series application to Fokker–Planck equation and information of non-random functions," Chaos, Solitons & Fractals, Elsevier, vol. 40(3), pages 1428-1448.
    8. Jumarie, Guy, 2009. "From Lagrangian mechanics fractal in space to space fractal Schrödinger’s equation via fractional Taylor’s series," Chaos, Solitons & Fractals, Elsevier, vol. 41(4), pages 1590-1604.
    9. Nuugulu, Samuel M & Gideon, Frednard & Patidar, Kailash C, 2021. "A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
    10. Mine Caglar, 2011. "Stock Price Processes with Infinite Source Poisson Agents," Papers 1106.6300, arXiv.org.
    11. Hermine Biermé & Anne Estrade & Ingemar Kaj, 2010. "Self-similar Random Fields and Rescaled Random Balls Models," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1110-1141, December.

  11. Cioczek-Georges, R. & Mandelbrot, B. B., 1995. "A class of micropulses and antipersistent fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 1-18, November.

    Cited by:

    1. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
    2. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    3. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    4. Barros, Carlos P. & Gil-Alana, Luis A. & Wanke, Peter, 2016. "Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks," Energy Economics, Elsevier, vol. 54(C), pages 88-95.
    5. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
    6. Jumarie, Guy, 2006. "Fractionalization of the complex-valued Brownian motion of order n using Riemann–Liouville derivative. Applications to mathematical finance and stochastic mechanics," Chaos, Solitons & Fractals, Elsevier, vol. 28(5), pages 1285-1305.
    7. Luis Gil-Alana, 2003. "Stochastic behavior of nominal exchange rates," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(2), pages 159-173, June.
    8. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
    9. Jumarie, Guy, 2007. "Lagrangian mechanics of fractional order, Hamilton–Jacobi fractional PDE and Taylor’s series of nondifferentiable functions," Chaos, Solitons & Fractals, Elsevier, vol. 32(3), pages 969-987.
    10. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
    11. Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
    12. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
    13. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    14. Cioczek-Georges, R. & Mandelbrot, B. B., 1996. "Alternative micropulses and fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 64(2), pages 143-152, November.
    15. Jumarie, Guy, 2009. "Probability calculus of fractional order and fractional Taylor’s series application to Fokker–Planck equation and information of non-random functions," Chaos, Solitons & Fractals, Elsevier, vol. 40(3), pages 1428-1448.
    16. Jumarie, Guy, 2009. "From Lagrangian mechanics fractal in space to space fractal Schrödinger’s equation via fractional Taylor’s series," Chaos, Solitons & Fractals, Elsevier, vol. 41(4), pages 1590-1604.
    17. Gil-Alana, Luis A., 2003. "A Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
    18. Jumarie, Guy, 2005. "Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 585-598, December.
    19. L. A. Gil-Alana, 2003. "A fractional integration analysis of the population in some OECD countries," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1147-1159.
    20. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
    21. Luis Gil-Alana, 2004. "The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 429-432.
    22. Hermine Biermé & Anne Estrade & Ingemar Kaj, 2010. "Self-similar Random Fields and Rescaled Random Balls Models," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1110-1141, December.
    23. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
    24. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
    25. Guglielmo Maria Caporale & Luis Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 375-383.

  12. Evertsz, Carl J.G. & Mandelbrot, Benoit B., 1992. "Self-similarity of harmonic measure on DLA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 185(1), pages 77-86.

    Cited by:

    1. Dai, Meifeng & Hou, Jie & Gao, Jianyu & Su, Weiyi & Xi, Lifeng & Ye, Dandan, 2016. "Mixed multifractal analysis of China and US stock index series," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 268-275.
    2. Dai, Meifeng & Zhang, Cheng & Zhang, Danping, 2014. "Multifractal and singularity analysis of highway volume data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 332-340.
    3. Li, Xuewei & Shang, Pengjian, 2007. "Multifractal classification of road traffic flows," Chaos, Solitons & Fractals, Elsevier, vol. 31(5), pages 1089-1094.

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Chapters

  1. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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  2. Benoit B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290, National Bureau of Economic Research, Inc.

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    3. Souza, Sergio R. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2008. "Long memory testing for Fed Funds Futures’ contracts," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 180-186.
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    12. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
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