IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm

  • Diana DEZSI

    (The Academy of Economic Studies, Bucharest, Romania)

  • Emil SCARLAT

    (The Academy of Economic Studies, Bucharest, Romania)

Registered author(s):

    The hereto article indicates how multifractals related ideas can contribute to the modelling of the long-memory nature of the financial market volatility. The multifractal models appear in the context of the new paradigm of the financial markets, being related to Benoit Mandelbrot’s fractal view of the financial markets, while the analysed multifractal model was developed by Laurent Calvet and Benoit Mandelbrot and it’s based on the concepts of fat tails and long time dependence or long memory, representing an alternative to ARCH models, focusing on the multi-scaling property of the process, resulting a promising alternative to ARCH models due to scale-consistency. The Multifractal Model of Asset Returns compounds a Brownian motion with a multifractal time-deformation process that produces volatility clustering, and its purpose is not to predict the future with certainty, but to create a more realistic picture of market risks, given the lately delicate situation of the hedge funds, a more accurate estimate of risk being needed. The Multifractal Model of Asset Returns presented in this paper incorporates regularities observed in financial time series, including fat tails and long memory, multifractality being defined by a set of restrictions on the process moments as the time scale of observations changes, integrated in the model through trading time, a random distortion of clock time that accounts for changes in volatility.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.tje.uvt.ro/index.php/tje/article/download/129/pdf
    Download Restriction: no

    File URL: http://www.tje.uvt.ro/index.php/tje/article/view/129
    Download Restriction: no

    Article provided by West University of Timisoara, Romania, Faculty of Economics and Business Administration in its journal Timisoara Journal of Economics.

    Volume (Year): 5 (2012)
    Issue (Month): 17 ()
    Pages: 23-32

    as
    in new window

    Handle: RePEc:wun:journl:tje:v05:y2012:i17:a02
    Contact details of provider: Postal: Str. J.H.Pestalozzi nr. 16, 300115, Timisoara
    Phone: 004 0256 592506
    Fax: 004 0256 5925002
    Web page: http://www.feaa.uvt.ro

    More information through EDIRC

    Order Information: Postal: 16 J. H. Pestalozzi Street, 300115, Timisoara, Romania
    Web: http://www.tje.uvt.ro Email:


    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wun:journl:tje:v05:y2012:i17:a02. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Romeo Margea)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.