910 citations
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Showing 2000 · cond-mat.stat-mechShow all
3 papers · 2 filters
cond-mat.stat-mech2000★ 2 cited
Should we abandon cascade models to describe the spatial complexity of fully developed turbulence velocity profiles ?
J. Delour, J. F. Muzy, A. Arneodo
We perform one- and two-points magnitude cumulant analysis of one-dimensional longitudinal velocity profiles stemming from three different experimental set-ups and covering a broad…
cond-mat.stat-mech2000★ 6 cited
A multivariate multifractal model for return fluctuations
E. Bacry, J. Delour, J. F. Muzy
In this paper we briefly review the recently inrtroduced Multifractal Random Walk (MRW) that is able to reproduce most of recent empirical findings concerning financial time-series…
cond-mat.stat-mech2000
Multifractal returns and Hierarchical Portfolio Theory
J. -F. Muzy, D. Sornette, J. Delour +1
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal descripti…