Scaling in financial prices: I. Tails and dependence

DOI10.1080/713665539zbMath1405.91751OpenAlexW2146578397MaRDI QIDQ4646469

Benoit B. Mandelbrot

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665539

zbMATH Keywords

multifractalsstar equationscaling of financial prices

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Fractals (28A80) Actuarial science and mathematical finance (91G99)

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