462 citations · 1.5k across the 41 of their papers we have counts for
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cond-mat.stat-mech2005★ 52 cited
Extreme values and fat tails of multifractal fluctuations
Jean-Francois Muzy, Emmanuel Bacry, Alexey Kozhemyak
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) ta…
cond-mat.other2005★ 17 cited
The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy +1
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be rel…