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The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond | | Lisa Borland
; Jean-Philippe Bouchaud
; Jean-Francois Muzy
; Gilles Zumbach
; | | Date: |
12 Dec 2004 | | Subject: | Other; Statistical Mechanics | cond-mat.other cond-mat.stat-mech | | Abstract: | This is a short review in honor of B. Mandelbrot’s 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial time series, in particular the intermittent, long-memory nature of the volatility. We describe in details the Bacry-Muzy-Delour multifractal random walk. We point out some inadequacies of the current models, in particular concerning time reversal symmetry, and propose an alternative family of multi-timescale models, intermediate between GARCH models and multifractal models, that seem quite promising. | | Source: | arXiv, cond-mat/0501292 | | Services: | Forum | Review | PDF | Favorites | |
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