A Brief Study of the Multifractal Model of Asset Returns.
Understanding the processes that determine price variations is important in evaluating risks in the financial system. Many of the conventional models used to describe price variations are based on the model of Brownian motion. This model fails to take into account large price deviations, dependence...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematik (Avd.)
2012
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103870 |