462 citations · 1.5k across the 42 of their papers we have counts for
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cond-mat.stat-mech2000★ 6 cited
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…
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…