462 citations · 1.5k across the 41 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…
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…