Scaling in financial prices. IV: Multifractal concentration

DOI10.1088/1469-7688/1/6/306zbMATH Open1405.91754OpenAlexW2137636060MaRDI QIDQ4646516FDOQ4646516

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/10.1088/1469-7688/1/6/306

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zbMATH Keywords

financial price scalingmultifractal concentration

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fractals (28A80) Actuarial science and mathematical finance (91G99)

Cited In (6)

• Scaling behaviors in differently developed markets
• Scaling in financial prices. I: Tails and dependence
• Scaling in financial prices. II: Multifractals and the star equation
• Scaling in financial prices. III: Cartoon Brownian motions in multifractal time
• Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
• Parallel cartoons of fractal models of finance

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