Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
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References listed on IDEAS
- Attilio L. Stella & Fulvio Baldovin, 2008. "Role of scaling in the statistical modeling of finance," Papers 0804.0331, arXiv.org.
- Benoit Mandelbrot, 1999. "Survey of Multifractality in Finance," Cowles Foundation Discussion Papers 1238, Cowles Foundation for Research in Economics, Yale University.
- Alessandro Andreoli & Francesco Caravenna & Paolo Dai Pra & Gustavo Posta, 2010. "Scaling and multiscaling in financial series: a simple model," Papers 1006.0155, arXiv.org, revised Apr 2012.
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Cited by:
- Schadner, Wolfgang, 2022. "U.S. Politics from a multifractal perspective," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
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More about this item
Keywords
Multifractal processes; scaling function; multifractal spectrum; long-range dependence; heavy tails; MMAR; Extreme Value Theory.;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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