Approximated maximum likelihood estimation in multifractal random walks.

@article{Lvsletten2012ApproximatedML,
  title={Approximated maximum likelihood estimation in multifractal random walks.},
  author={Ola L{\o}vsletten and Martin Rypdal},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2012},
  volume={85 4 Pt 2},
  pages={
          046705
        }
}
We present an approximated maximum likelihood method for the multifractal random walk processes of [E. Bacry et al., Phys. Rev. E 64, 026103 (2001)]. The likelihood is computed using a Laplace approximation and a truncation in the dependency structure for the latent volatility. The procedure is implemented as a package in the r computer language. Its performance is tested on synthetic data and compared to an inference approach based on the generalized method of moments. The method is applied to… CONTINUE READING

Figures, Tables, and Topics from this paper.

Explore Further: Topics Discussed in This Paper

Citations

Publications citing this paper.
SHOWING 1-9 OF 9 CITATIONS

A multifractal approach towards inference in finance

VIEW 3 EXCERPTS
CITES METHODS & BACKGROUND
HIGHLY INFLUENCED

A Bayesian approach for the multifractal analysis of spatio-temporal data

  • 2016 International Conference on Systems, Signals and Image Processing (IWSSIP)
  • 2016
VIEW 1 EXCERPT

References

Publications referenced by this paper.
SHOWING 1-10 OF 27 REFERENCES

Ann

J. P. Kahane
  • Sci. Math. Quebec 9, 105
  • 1985
VIEW 6 EXCERPTS
HIGHLY INFLUENTIAL

and L

B. Mandelbrot, A. Fisher
  • Calvet, Cowles Foundation for Research in Economics Working Papers
  • 1997
VIEW 4 EXCERPTS
HIGHLY INFLUENTIAL

36

B. B. Mandelbrot, J. Bus
  • 394
  • 1963
VIEW 5 EXCERPTS
HIGHLY INFLUENTIAL

Europ

S. Martino, K. Aas, O. Lindqvist, L. R. Neef, H. Rue
  • J. Finance 17, 487
  • 2011

Res

M. Rypdal, K. Rypdal, J. Geophys
  • 116, A02202
  • 2011

Rypdal, R package (2011), URL http://complexityandplasmas.net/nordforsk/ Papers_files/MLE%20MRW%20R%20package.zip

M. O. Løvsletten
  • 2011

Ann

R. Robert, V. Vargas
  • Probab. 38, 605
  • 2010

Research Collection School of Economics

H. Skaug, J. Yu
  • Singapore Management University
  • 2009

Softw

R. Varadhan, P. Gilbert, J. Stat
  • 32, 1
  • 2009
VIEW 1 EXCERPT

Dyn

E. Bacry, A. Kozhemyak, J.-F. Muzy, J. Econ
  • Control 32, 156
  • 2008
VIEW 2 EXCERPTS

Similar Papers

Loading similar papers…