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cond-mat1999★ 154 cited
Apparent multifractality in financial time series
Jean-Philippe Bouchaud, Marc Potters, Martin Meyer
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofr…
cond-mat1999
Theory of Financial Risk: Basic notions in probability
Jean-Philippe Bouchaud, Marc Potters
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves o…