Essays about: "Multifractal Model of Asset Returns MMAR"

Found 2 essays containing the words Multifractal Model of Asset Returns MMAR.

  1. 1. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rostislav Sibirtsev; [2019]
    Keywords : Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Abstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE

  3. 2. A Brief Study of the Multifractal Model of Asset Returns.

    University essay from KTH/Matematik (Avd.); KTH/Matematik (Inst.)

    Author : Marcus Cordi; Anton Lund; [2012]
    Keywords : ;

    Abstract : 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. READ MORE