Continuous cascade models for asset returns

@inproceedings{Bacry2006ContinuousCM,
  title={Continuous cascade models for asset returns},
  author={Emmanuel Bacry and Alexey Kozhemyak and Jean-François Muzy},
  year={2006}
}
In this paper, we make a short overview of continuous cascade models recently introduced to model asset return fluctuations. We show that these models account in a very parcimonious manner for most of “stylized facts” of financial time series. We review in more details the simplest of such models namely the log-normal Multifractal Random Walk. It can simply be considered as a stochastic volatility model where the (log-) volatility memory has a peculiar ”logarithmic” shape. This model possesses… CONTINUE READING
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