A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
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Publication:5312122
DOI10.1142/S0217979204024306zbMath1073.91030OpenAlexW2088046756MaRDI QIDQ5312122
U. L. Fulco, Filippo Petroni, G. M. Viswanathan, Maurizio Serva, Marcelo L. Lyra
Publication date: 30 August 2005
Published in: International Journal of Modern Physics B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0217979204024306
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Cites Work
- Long-range dependence in the conditional variance of stock returns
- Multiscale behaviour of volatility autocorrelations in a financial market
- Long memory processes and fractional integration in econometrics
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Introduction to Econophysics
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
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