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Continuous cascade models for asset returns

Citations

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Cited by:

  1. Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
  2. M. Rypdal & O. L{o}vsletten, 2011. "Multifractal modeling of short-term interest rates," Papers 1111.5265, arXiv.org.
  3. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers 1803.06917, arXiv.org.
  4. Grahovac, Danijel, 2020. "Multifractal processes: Definition, properties and new examples," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  5. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  6. 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.
  7. 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).
  8. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
  9. Patrice Abry & Yannick Malevergne & Herwig Wendt & Stéphane Jaffard & Marc Senneret & Laurent Jaffrès, 2022. "Foreign Exchange Multivariate Multifractal Analysis," Post-Print hal-03735497, HAL.
  10. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
  11. 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.
  12. Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  13. Josselin Garnier & Knut Solna, 2018. "Emergence of Turbulent Epochs in Oil Prices," Papers 1808.09382, arXiv.org, revised Apr 2019.
  14. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
  15. Gradojevic, Nikola & Tsiakas, Ilias, 2021. "Volatility cascades in cryptocurrency trading," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 252-265.
  16. Sattarhoff, Cristina & Lux, Thomas, 2021. "Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized Volatilities," Economics Working Papers 2021-02, Christian-Albrechts-University of Kiel, Department of Economics.
  17. Kukacka, Jiri & Kristoufek, Ladislav, 2020. "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  18. Sattarhoff, Cristina & Lux, Thomas, 2023. "Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1678-1697.
  19. Morales, Raffaello & Di Matteo, T. & Aste, Tomaso, 2013. "Non-stationary multifractality in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6470-6483.
  20. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
  21. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Working Papers hal-01754054, HAL.
  22. 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.
  23. Soledad Torres & Ciprian A. Tudor, 2018. "The Multifractal Random Walk as Pathwise Stochastic Integral: Construction and Simulation," Journal of Theoretical Probability, Springer, vol. 31(1), pages 445-465, March.
  24. Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
  25. Garnier, Josselin & Solna, Knut, 2019. "Emergence of turbulent epochs in oil prices," Chaos, Solitons & Fractals, Elsevier, vol. 122(C), pages 281-292.
  26. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  27. Grobys, Klaus, 2023. "A multifractal model of asset (in)variances," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  28. Lee, Hojin & Song, Jae Wook & Chang, Woojin, 2016. "Multifractal Value at Risk model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 113-122.
  29. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
  30. Massimiliano Frezza & Sergio Bianchi & Augusto Pianese, 2022. "Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process," Computational Management Science, Springer, vol. 19(1), pages 99-132, January.
  31. Grahovac, Danijel & Leonenko, Nikolai N., 2014. "Detecting multifractal stochastic processes under heavy-tailed effects," Chaos, Solitons & Fractals, Elsevier, vol. 65(C), pages 78-89.
  32. Jochen Heberle & Cristina Sattarhoff, 2017. "A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators," Econometrics, MDPI, vol. 5(1), pages 1-16, January.
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