A multivariate multifractal model for return fluctuations

2000/09/18 by Emmanuel Bacry, Bacry, E., J. Delour +3
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech)

paper · doi:10.48550/arxiv.cond-mat/0009260

openalex publication_date 2000/09/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Related

• The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
• A multifractal approach towards inference in finance
• Effective multifractal features and l-variability diagrams of high-frequency price fluctuations time series
• Forecasting volatility with the multifractal random walk model
• New measure of multifractality and its application in finances