Multifractal returns and hierarchical portfolio theory
نویسندگان
چکیده
منابع مشابه
0 Multifractal returns and Hierarchical Portfolio Theory ∗
We extend and test empirically the multifractal model of asset returns based on a multi-plicative cascade of volatilities from large to small time scales. Inspired by an analogy between price dynamics and hydrodynamic turbulence [Ghashghaie et al., 1996; Arneodo et al., 1998a], it models the time scale dependence of the probability distribution of returns in terms of a superposition of Gaussian...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2001
ISSN: 1469-7688,1469-7696
DOI: 10.1088/1469-7688/1/1/310