Multifractal

ray · January 27th, 2002, 12:11 am

Any comment on multifractal process? It's said it's of no arbitrage opportunity (unlike FBM) and with long memory. Any cons?

J · January 27th, 2002, 4:06 am

Ray,
if you know a random processes of a stock have the properties of long memory processes, how to make money from that ?
How to find such a process ?

jungle · January 27th, 2002, 11:56 am

How to find such a process ?

you can test for autocorrelation in the residuals; this has been used in tests of market efficiency ("a non-random walk down wall street"...?).
i guess the number of lags is the length of the memory.

Vincent · January 29th, 2002, 2:31 am

Any comment on multifractal process? It's said it's of no arbitrage opportunity (unlike FBM) and with long memory. Any cons? >>

ray,

Would you mind uploading the reference or paper of multifractal process?

ray · January 29th, 2002, 6:07 pm

Here is it.
http://www.princeton.edu/~bcf/calvet.pdf
You can also find relevant papers from same authors.

yarsky · June 1st, 2002, 8:16 pm

I'm about to look at the aformentioned article and i have a ruther idle question. Are multifractal measures continuous? I mean do they satisfy the fifth axiom of the probability theory (A.N. Kolmogorov)?