Author:
Bacry Emmanuel,Duvernet Laurent,Muzy Jean-François
Abstract
We present the construction of a continuous-time stochastic process which has moments that satisfy an exact scaling relation, including odd-order moments. It is based on a natural extension of the multifractal random walk construction described in Bacry and Muzy (2003). This allows us to propose a continuous-time model for the price of a financial asset that reflects most major stylized facts observed on real data, including asymmetry and multifractal scaling.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
5 articles.
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