A Multifractal Model of Asset Returns

By Benoit B. Mandelbrot, Adlai J. Fisher, Laurent E. Calvet. 1997

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Universal features of price formation in financial markets: perspectives from deep learning (2018, background): “Empirical evidence on the universality of certain stylized facts (Cont 2001) and scaling relations (Mandelbrot et al. 1997, Benzaquen et al. 2016, Kyle and Obizhaeva 2016, Patzelt and Bouchaud 2017, Toth et al. 2017, Andersen et al. 2018) seems to support the universality hypothesis.”
Empirical properties of asset returns: stylized facts and statistical issues (2001, background): “Recent work [ 90 , 100] on multifractal stochastic volatility models has motivated yet another measure of nonlinear dependence based on correlations of the logarithm of absolute returns:”
DETECTING MULTIFRACTAL PROPERTIES IN ASSET RETURNS: THE FAILURE OF THE "SCALING ESTIMATOR" (2004, background): “As shown by Mandelbrot, Calvet and Fisher [1], the scaling behavior of the multi-fractal time transformation carries over to returns from the compound process (1) which would”
The Volatility of Realized Volatility (2005, methodology): “…other approaches for reproducing long-memory dependence, such as the multifractals and cascade models of Calvet and Fisher (2002, 2004) and Mandelbrot et al. (1997), or the error duration model of Parke (1999), have been proposed (see also Banerjee and Urga, 2005; Davidson and Teräsvirta,…”
Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2001, background): “The long-memory properties of the Mandelbrot, Fisher, and Calvet (1997) multifractal model rely on the multifractal distribution of the trading time.”
Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2011, methodology): “Although multi-scaling analysis based on the GHE has been already extensively pursued in the literature [9, 10, 11, 14, 15, 16, 17, 18, 19, 20], the dynamics of the GHE has been scarcely investigated [21].”
The singularity spectrum of Lévy processes in multifractal time (2007, background): “The singularity spectrum of Lévy processes in multifractal time”
Linear Algebra and its Applications (2010, background): “15 In finance, these volatility clusters are often apparent in historical returns series, see [20].”
Stochastic behavioral asset pricing models and the stylized facts (2008, methodology): “This model had indeed been designed as a well-behaved stochastic process that provides a close resemblance to the statistically more cumbersome rst vintage of multifractal models of asset returns with true scaling behavior (cf. Mandelbrot et al., 1997).”