910 citations
- Centre National de la Recherche ScientifiqueFR117 papers
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cond-mat2000★ 462 cited
A multifractal random walk
E. Bacry, J. Delour, J. F. Muzy
We introduce a class of multifractal processes, referred to as Multifractal Random Walks (MRWs). To our knowledge, it is the first multifractal processes with continuous dilation i…
cond-mat2000★ 257 cited
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model
J. F. Muzy, J. Delour, E. Bacry
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We sho…
cond-mat1996★ 4 cited
Comment on ``Turbulent cascades in foreign exchange markets''
Alain Arneodo, Jean-Philippe Bouchaud, Rama Cont +4
Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (19…