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Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
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Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
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Journal Article
Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
2012
Overview
We present the construction of a continuous-time stochastic process which has moments that satisfy an exact scaling relation, including odd-order moments. It is based on a natural extension of the multifractal random walk construction described in Bacry and Muzy (2003). This allows us to propose a continuous-time model for the price of a financial asset that reflects most major stylized facts observed on real data, including asymmetry and multifractal scaling.
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