Scaling in financial prices. II: Multifractals and the star equation

DOI10.1080/713665540MaRDI QIDQ4646470zbMATH 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/10.1080/713665540

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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• Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model

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