A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Introduction to Econophysics
- Long memory processes and fractional integration in econometrics
- Long-range dependence in the conditional variance of stock returns
- Multiscale behaviour of volatility autocorrelations in a financial market
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
Cited in
(24)- Evolving multi-humped distributions of stock market prices -- an empirical observation of nonequilibrium behavior
- Multifractality and self-adjustment of the attraction channel of stock market
- Multivariate Markov chain modeling for stock markets
- A risk measure of the stock market that is based on multifractality
- Stochastic process with multiplicative structure for the dynamic behavior of the financial market
- A general class of multifractional processes and stock price informativeness
- Multiscale behavior of a simple model for stock markets
- Fractal model for the stock market indices
- Stock prices as branching processes
- Goodness of fit assessment for a fractal model of stock markets
- A non-Gaussian stock price model: options, credit and a multi-timescale memory
- Modelling NASDAQ series by sparse multifractional Brownian motion
- Analytically tractable stochastic stock price models.
- scientific article; zbMATH DE number 2034475 (Why is no real title available?)
- Multifractality in time series
- MULTIFRACTAL FLUCTUATIONS IN FINANCE
- Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
- Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters
- scientific article; zbMATH DE number 797365 (Why is no real title available?)
- scientific article; zbMATH DE number 7604955 (Why is no real title available?)
- Modelling stock price movements: multifractality or multifractionality?
- Modelling financial time series using multifractal random walks
- Fractality of profit landscapes and validation of time series models for stock prices
- Parallel cartoons of fractal models of finance
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