A multivariate multifractal model for return fluctuations
Statistical Mechanics
2008-12-02 v1 Statistical Finance
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.
Keywords
Cite
@article{arxiv.cond-mat/0009260,
title = {A multivariate multifractal model for return fluctuations},
author = {E. Bacry and J. Delour and J. F. Muzy},
journal= {arXiv preprint arXiv:cond-mat/0009260},
year = {2008}
}
Comments
To be published in the Proceeding of the APFA2 conference (Liege, Belgium, July 2000) in the journal Quantitative Finance