Stochastic volatility, power laws and long memory

DOI10.1080/713665999MaRDI QIDQ4646508zbMATH 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/10.1080/713665999

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Fractals (28A80) Financial applications of other theories (91G80)

Cited in

(3)

• No‐arbitrage implies power‐law market impact and rough volatility
• The Lévy flight foraging hypothesis: comparison between stationary distributions and anomalous diffusion ^*
• Long-range power-law correlations in stock returns

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