TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?

DOI10.1142/S0219024904002736MaRDI QIDQ4662048zbMATH OpenOpenAlexFDO

Authors Nicolas Boitout, Loredana Ureche-Rangau

Publication date 30 March 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024904002736

zbMATH Keywords

Long memorymultifractalstochastic cascadestochastic volatilitytrading volume

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

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Cited in

(2)

• From rough to multifractal volatility: the log S-fBm model
• Turbulence on financial markets and multiplicative cascade model of volatility

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