scientific article; zbMATH DE number 1091847

zbMATH Open1005.91001MaRDI QIDQ4367302FDOQ4367302

Benoît B. Mandelbrot

Publication date: 26 November 1997

Title of this publication is not available (Why is that?)

zbMATH Keywords

riskconcentrationfractalsscalingfinancial time series analysismultifractal model of asset returnsspeculative prices

Mathematics Subject Classification ID

Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Fractals (28A80)

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• Prediction of cryptocurrency returns using machine learning
• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Characteristic time scales in the American dollar-Mexican peso exchange currency market
• A path integral way to option pricing
• Generalized entropy approach to stable Lévy distributions with financial application
• Monte Carlo simulations of a trader-based market model
• Zipf-Mandelbrot scaling law for world track records
• Persistent scale free fluctuation in market recovery and recession
• On discrete stochastic processes with long-lasting time dependence in the variance
• Roughness and finite size effect in the NYSE stock-price fluctuations
• Diffusion on multifractals
• Nonparametric reconstruction of a multifractal function from noisy data
• A capital asset pricing model under stable Paretian distributions in a pure exchange economy
• A model for distribution of high-tax payers.
• A new approach to fractional Brownian motion of order \(n\) via random walk in the complex plane
• Uniform convergence for complex [0,1]-martingales
• Multiresolution analysis of S\&P500 time series
• Heterogeneous information-based artificial stock market
• Quantum gas distribution prescribed by factorization hypothesis of probability
• A pentatonic classification of extreme events
• Self-affine fractal functions and wavelet series
• Option pricing under residual risk and imperfect hedging
• Renewal of singularity sets of random self-similar measures
• Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system
• Multifractal formalism of oscillating singularities for random wavelet series
• Information-based multi-assets artificial stock market with heterogeneous agents
• Financial multifractality and its subtleties: An example of DAX
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• Pointwise smoothness of space-filling functions
• Metaheuristic optimization-based identification of fractional-order systems under stable distribution noises
• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
• Convergence of complex multiplicative cascades
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
• A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures
• Fractional Brownian motion approximation based on fractional integration of a white noise
• Spherically Invariant Random Processes: Theory and Applications
• Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
• A note on the Hausdorff dimension of general sums of pulses graphs
• Modelling skewness and kurtosis with the BCPE density in GAMLSS
• Stochastic calculus for assets with non-Gaussian price fluctuations
• Static and dynamic factors in an information-based multi-asset artificial stock market
• Self-criticality and stochastic of an S{\&}P 500 index time series
• Scaling and intermittency in animal behaviour
• Parallel cartoons of fractal models of finance
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• Inside singularity sets of random Gibbs measures
• Convergence of trajectories in fractal interpolation of stochastic processes
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• Emergence of turbulent epochs in oil prices
• Quality signals in information cascades and the dynamics of the distribution of motion picture box office revenues
• Local prelimit theorems and their applications to finance
• Self-organizing Ising model of financial markets
• Quantum financial economics -- risk and returns
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• Scaling behaviors in differently developed markets
• Minimal agent based model for financial markets. I
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• A fractional version of the Merton model.
• Elements for a theory of financial risks
• Invariance axioms and functional form restrictions in structural models
• Gaussian multiplicative chaos and KPZ duality
• A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY
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• Estimating the Hurst parameter in financial time series via heuristic approaches
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• Basic properties of critical lognormal multiplicative chaos
• Classical ergodicity and modern portfolio theory
• Multifractal analysis of complex random cascades
• The beneficial role of random strategies in social and financial systems
• Inference about the tail of a distribution: improvement on the Hill estimator
• Empirical realities for a minimal description risky asset model. The need for fractal features
• From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin
• Semi-parametric modelling in finance: theoretical foundations
• Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Fractal analysis of GPS time series for early detection of disastrous seismic events
• 2-microlocal analysis of martingales and stochastic integrals
• Benoît Mandelbrot and fractional Brownian motion
• Modeling growth stocks via birth-death processes
• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• Option overlay strategies
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Multifractal Products of Stationary Diffusion Processes
• Statistical estimation for multiplicative cascades.
• Continuous-time skewed multifractal processes as a model for financial returns
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• Convergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting
• Regenerative processes in supercooled liquids and glasses
• Fractional motions
• Vertical transmission of culture and the distribution of family names
• Self-similarity in financial markets: a fractionally integrated approach
• THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
• On complex behavior and exchange rate dynamics
• Financial market dynamics
• Towards a stochastic multi-point description of turbulence
• The bounds of heavy-tailed return distributions in evolving complex networks
• Stochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitation
• On the asymptotic free boundary for the American put option problem

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