Accession Number:

ADA433813

Title:

Scaling and Multiscaling in Financial Time Series

Descriptive Note:

Briefing charts

Corporate Author:

UNIVERSITE DE CORSE CORTE FRANCE

Report Date:

2005-01-07

Pagination or Media Count:

45.0

Abstract:

1 A brief overview of financial markets Basic definitions and problems related to finance Scaling in finance 2 Empirical properties of financial time series Main stylized facts Scaling properties 3 Empirical models From Bachelier to Mandelbrot Fat tails Truncated Levy models Heteroskedaticity Classical econometric models. Multifractal Models 4 The MRW model Definition and scaling properties Estimation issues 5 Applications Risk evaluation and forecasting Portfolio theory and option pricing 6 Conclusion and prospects

Subject Categories:

  • Economics and Cost Analysis
  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE