A multivariate multifractal model for return fluctuations - Département de mathématiques appliquées Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2000

A multivariate multifractal model for return fluctuations

Emmanuel Bacry
J. F. Muzy

Résumé

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.

Dates et versions

hal-00012440 , version 1 (23-10-2005)

Identifiants

Citer

Emmanuel Bacry, J. Delour, J. F. Muzy. A multivariate multifractal model for return fluctuations. 2000. ⟨hal-00012440⟩
97 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More