10 citations · 13 across the 2 of their papers we have counts for
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physics.soc-ph2005
On a multi-timescale statistical feedback model for volatility fluctuations
L. Borland, J. -Ph. Bouchaud
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on diffe…
cond-mat.other2005
A multi-time scale non-Gaussian model of stock returns
Lisa Borland
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback acr…
cond-mat.other2005
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…