462 citations · 1.1k across the 7 of their papers we have counts for
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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…