A Multifractal Model of Asset Returns
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Other versions of this item:
- 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.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999. "A Multifractal Model of Assets Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-072, New York University, Leonard N. Stern School of Business-.
References listed on IDEAS
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Keywords
self-affinity; Multifractal model of asset returns; compund stochastic process; subordinated stochastic process; time deformation; trading time; scaling laws; multiscaling; self-similarity;All these keywords.
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