A multivariate multifractal model for return fluctuations
نویسندگان
چکیده
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.
منابع مشابه
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model
In this paper, we provide a simple, “generic” interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as recently observed in Ref. [20], naturally emerge. We then propose a simple solvable “stochastic volatility” model for return fluctuations. This model is able to reproduce mos...
متن کاملMultifractal cross-correlation analysis in electricity spot market
In this paper, we investigate the multiscale cross-correlations between electricity price and trading volume in Czech market based on a newly developed algorithm, called Multifractal Cross-Correlation Analysis (MFCCA). The new algorithm is a natural multifractal generalization of the Detrended Cross-Correlation Analysis (DCCA), and is sensitive to cross-correlation structure and free from limit...
متن کاملExtreme values and fat tails of multifractal fluctuations.
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with such data. We show that because of strong correlations, the standard extreme value approach is not valid and classical tail exponent estimators should be int...
متن کاملContinuous cascade models for asset returns
In this paper, we make a short overview of continuous cascade models recently introduced to model asset return fluctuations. We show that these models account in a very parcimonious manner for most of “stylized facts” of financial time series. We review in more details the simplest of such models namely the log-normal Multifractal Random Walk. It can simply be considered as a stochastic volatil...
متن کاملTarget Classification with Low-resolution Surveillance Radars Based on Multifractal Features
The multifractal characteristics of return signals from aircraft targets in conventional radars offer a fine description of dynamic characteristics which induce the targets’ echo structure; therefore they can provide a new way for aircraft target classification and recognition with low-resolution surveillance radars. On basis of introducing the mathematical model of return signals from aircraft...
متن کامل