Scaling in financial prices. I: Tails and dependence

DOI10.1080/713665539MaRDI QIDQ4646469zbMATH OpenOpenAlexFDO

Authors Benoît B. Mandelbrot

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/713665539

zbMATH Keywords

multifractalsscaling of financial pricesstar equation

Mathematics Subject Classification ID

Fractals (28A80) Fractional processes, including fractional Brownian motion (60G22) Actuarial science and mathematical finance (91G99)

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• On the origin of power-law tails in price fluctuations
• Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
• Time-changed Poisson processes of order k
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