Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance

@article{Dempster2011BenoitBM,
  title={Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance},
  author={Michael A. H. Dempster},
  journal={Quantitative Finance},
  year={2011},
  volume={11},
  pages={155 - 156}
}
  • M. Dempster
  • Published 22 January 2011
  • Economics
  • Quantitative Finance
Centre for Financial Research, University of Cambridge & Cambridge Systems Associates LimitedBenoit Mandelbrot was a father of Quantitative Financein two senses.The better known – and most important – sense is ofcourse related to his fundamental insights into the realworld behaviour of asset prices – discontinuities, powerlaw tails, trading time, subordination, long memory,fractional Brownian motion, multi-fractal processes (seeMandelbrot 1997 for a detailed exposition of these ideas).In this… 
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This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type

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This is a direct continuation of the preceding paper, with which it shares the front material and the numbering of the sections. A little repetition makes it possible to read this paper, part II, by

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Benoit B Mandelbrot comments on the paper by Blake LeBaron, on page 621 of this issue, by tracing the merits and pitfalls of power-law scaling models from antiquity to the present.