Stochastic volatility, power laws and long memory

DOI10.1080/713665999zbMATH Open1405.91720OpenAlexW2109679187MaRDI QIDQ4646508FDOQ4646508

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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