Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
2012 ◽
Vol 49
(2)
◽
pp. 482-502
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Keyword(s):
We present the construction of a continuous-time stochastic process which has moments that satisfy an exact scaling relation, including odd-order moments. It is based on a natural extension of the multifractal random walk construction described in Bacry and Muzy (2003). This allows us to propose a continuous-time model for the price of a financial asset that reflects most major stylized facts observed on real data, including asymmetry and multifractal scaling.
2012 ◽
Vol 49
(02)
◽
pp. 482-502
◽
Keyword(s):
1975 ◽
Vol 2
(2)
◽
pp. 187-203
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Keyword(s):
2005 ◽
Vol 152
(1)
◽
pp. 85-89
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Keyword(s):
2021 ◽
Keyword(s):
Keyword(s):