Mandelbrot, Benoit; Fisher, Adlai; Calvet, Laurent - Cowles Foundation for Research in Economics, Yale University - 1997
This paper presents the multifractal model of asset returns ("MMAR"), 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. First, the MMAR...