Scaling and Multiscaling in Financial Time Series

Abstract

1/ A brief overview of financial markets * Basic definitions and problems related to finance * Scaling in finance 2/ Empirical properties of financial time series * Main "stylized facts" * Scaling properties 3/ Empirical models: From Bachelier to Mandelbrot * Fat tails: Truncated Levy models * Heteroskedaticity: Classical econometric models. * Multifractal Models 4/ The MRW model * Definition and scaling properties * Estimation issues 5/ Applications * Risk evaluation and forecasting * Portfolio theory and option pricing 6/ Conclusion and prospects

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Document Details

Document Type
Technical Report
Publication Date
Jan 07, 2005
Accession Number
ADA433813

Entities

People

  • Alain Arneodo
  • Alexey Kozhemyak
  • Didier Sornette
  • Emmanuel Bacry
  • Jean Delour
  • Jean-francois Muzy

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Brownian Motion
  • Clustering
  • Computations
  • Data Science
  • Delphi Method
  • Economics
  • Engineering
  • Estimators
  • Finance
  • Gaussian Processes
  • Information Science
  • Noise
  • Probability
  • Probability Distributions
  • Random Walk
  • White Noise

Readers

  • Economics
  • Statistical inference.
  • Theoretical Analysis.