IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0009260.html
   My bibliography  Save this paper

A multivariate multifractal model for return fluctuations

Author

Listed:
  • E. Bacry

    (CMAP, Ecole Polytechnique Palaiseau France)

  • J. Delour

    (CRPP, Pessac France)

  • J. F. Muzy

    (CRPP, Pessac France
    Universite de Corse, Corte, France)

Abstract

In this paper we briefly review the recently inrtroduced Multifractal Random Walk (MRW) that is able to reproduce most of recent empirical findings concerning financial time-series : no correlation between price variations, long-range volatility correlations and multifractal statistics. We then focus on its extension to a multivariate context in order to model portfolio behavior. Empirical estimations on real data suggest that this approach can be pertinent to account for the nature of both linear and non-linear correlation between stock returns at all time scales.

Suggested Citation

  • E. Bacry & J. Delour & J. F. Muzy, 2000. "A multivariate multifractal model for return fluctuations," Papers cond-mat/0009260, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0009260
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0009260
    File Function: Latest version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bacry, E. & Delour, J. & Muzy, J.F., 2001. "Modelling financial time series using multifractal random walks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 84-92.
    2. Liu, Ruipeng & Lux, Thomas, 2017. "Generalized Method of Moment estimation of multivariate multifractal models," Economic Modelling, Elsevier, vol. 67(C), pages 136-148.
    3. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    4. Ren, F. & Zheng, B. & Lin, H. & Wen, L.Y. & Trimper, S., 2005. "Persistence probabilities of the German DAX and Shanghai Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 439-450.
    5. Budaev, V.P., 2004. "Turbulence in magnetized plasmas and financial markets: comparative study of multifractal statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 299-307.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0009260. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.