The Multifractal Model of Asset Returns (See lt;a HREF=http://papers.ssrn.com/paper.taf?abstract_id=78588gt;Mandelbrot, Fisher, and Calvet, 1997lt;/Agt; ) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a...

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns (quot;MMARquot;). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997) (See Mandelbrot, Fisher, and Calvet, 1997 at the following URL: http://papers.ssrn.com/paper.taf?abstract_id=78588 ), is...

This paper presents the quot;multifractal model of asset returnsquot; (quot;MMARquot;), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well known in finance....

We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing," i.e., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are...

We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how leverage tends to boost asset prices, and create bubbles. We show how leverage can be endogenously determined in equilibrium, and how it depends on volatility. We describe the...

Extreme adverse selection arises when private information has unbounded support, and market breakdown occurs when no trade is the only equilibrium outcome. We study extreme adverse selection via the limit behavior of a financial market as the support of private information converges to an...

We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet...

We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called “value investing,” i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset...

We present a dynamic model of venture capital financing, described as a sequential investment problem with uncertain outcome. Each venture has a critical, but unknown threshold beyond which it cannot progress. If the threshold is reached before the completion of the project, then the project...

We present a dynamic model of venture capital financing, described as a sequential investment problem with uncertain outcome. Each venture has a critical, but unknown threshold beyond which it cannot progress. If the threshold is reached before the completion of the project, then the project...