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A multivariate multifractal model for return fluctuations

Author

Listed:
  • E. Bacry

    (CMAP, Ecole Polytechnique Palaiseau France)

  • J. Delour

    (CRPP, Pessac France)

  • J. F. Muzy

    (CRPP, Pessac France
    Universite de Corse, Corte, France)

Abstract

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.

Suggested Citation

  • E. Bacry & J. Delour & J. F. Muzy, 2000. "A multivariate multifractal model for return fluctuations," Papers cond-mat/0009260, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0009260
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    Cited by:

    1. Bacry, E. & Delour, J. & Muzy, J.F., 2001. "Modelling financial time series using multifractal random walks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 84-92.
    2. Ren, F. & Zheng, B. & Lin, H. & Wen, L.Y. & Trimper, S., 2005. "Persistence probabilities of the German DAX and Shanghai Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 439-450.
    3. Budaev, V.P., 2004. "Turbulence in magnetized plasmas and financial markets: comparative study of multifractal statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 299-307.
    4. Liu, Ruipeng & Lux, Thomas, 2017. "Generalized Method of Moment estimation of multivariate multifractal models," Economic Modelling, Elsevier, vol. 67(C), pages 136-148.
    5. 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).

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