9 citations · 9 across the 1 of their papers we have counts for
2 papers
q-fin.ST2008★ 9 cited
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
E. Bacry, A. Kozhemyak, J. -F. Muzy
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this m…
cond-mat.stat-mech2005
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…