$Multifractal Models in Finance: Their Origin, Properties, and Applications$

Working Paper

Multifractal Models in Finance: Their Origin, Propterties, and Applications

Kiel Working Papers, 1860

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Authors

Segnon
M.
Lux
T.

Publication Date

08/2013

JEL Classification

C20 F37 G15

Key Words

forecasting

Multifractal processes

random measures

stochastic volatility

This chapter provides an overview over the recently developed so called multifractal

(MF) approach for modeling and forecasting volatility. We outline the genesis of this

approach from similar models of turbulent flows in statistical physics and provide details on

different specifications of multifractal time series models in finance, available methods for

their estimation, and the current state of their empirical applications.

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