273 citations
- Centre National de la Recherche ScientifiqueFR55 papers
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- Centre de Mathématiques Appliquées de l'École polytechniqueFR10 papers
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4 papers · 1 filter
Log-infinitely divisible multifractal processes
E. Bacry, J. F. Muzy
We define a large class of multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes generalize within a u…
Resonant Magnetic Vortices
Yves Décanini, Antoine Folacci
By using the complex angular momentum method, we provide a semiclassical analysis of electron scattering by a magnetic vortex of Aharonov-Bohm-type. Regge poles of the -matrix a…
Multifractal stationary random measures and multifractal random walks with log-infinitely divisible scaling laws
J. -F. Muzy, E. Bacry
We define a large class of continuous time multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes gener…
Volatility fingerprints of large shocks: Endogeneous versus exogeneous
D. Sornette, Y. Malevergne, J. F. Muzy
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attac…