Continuous cascade models for asset returns

By Emmanuel Bacry, Alexey Kozhemyak, Jean-François Muzy. 2008

106 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

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Citations in the corpus

Universal features of price formation in financial markets: perspectives from deep learning (2018, background): “There is a trove of empirical evidence going against this hypothesis, and pointing to long-range dependence in financial time series [3, 21, 22].”
Gaussian multiplicative chaos and applications: A review (2013, background): “2) defines the Multifractal Random Walk (MRW) first introduced in [10] (see [11] for a recent review of financial applications of the MRW model).”
Intermittent process analysis with scattering moments (2013, methodology): “An improved estimator has been introduced in [4, 5] with a regression on the covariance of the log of the multifractal random measure.”
KPZ formula for log-infinitely divisible multifractal random measures (2008, methodology): “MRM have been used as models of the energy dissipation in a turbulent flow (see [11]) and of the volatility of a financial asset (see [2], [8]); as such, MRM are much more realistic models than multiplicative cascades whose construction relies on a discrete dyadic decomposition of the unit interval.”
Gaussian multiplicative chaos revisited (2008, background): “where (Bt)t > 0 is a brownian motion independent of m. Formula (1.5) defines the Multifractal Random Walk (MRW) first introduced in [1] (se e [2] for a recent review of the financial applications of the MRW model).”
Scattering Representations for Recognition (2013, methodology): “However, one can generalize the construction with the so-called random multiplicative cascades [BKM08a].”