Working Paper

Multifractal Models in Finance: Their Origin, Propterties, and Applications

Authors

  • Mawuli Segnon
  • Thomas Lux
Publication Date

This chapter provides an overview over the recently developed so called multifractal

(MF) approach for modeling and forecasting volatility. We outline the genesis of this

approach from similar models of turbulent flows in statistical physics and provide details on

different specifications of multifractal time series models in finance, available methods for

their estimation, and the current state of their empirical applications.

Info

JEL Classification
C20, F37, G15

Key Words

  • forecasting
  • Multifractal processes
  • random measures
  • stochastic volatility