Everand Logo

Welcome to Everand!

  • Discover millions of ebooks, audiobooks, and so much more with a free trial

    Only $11.99/month after trial. Cancel anytime.

    Multifractal Volatility: Theory, Forecasting, and Pricing
    Multifractal Volatility: Theory, Forecasting, and Pricing
    Multifractal Volatility: Theory, Forecasting, and Pricing
    Ebook207 pages5 hours

    Multifractal Volatility: Theory, Forecasting, and Pricing

    By Laurent E. Calvet and Adlai J. Fisher

    ()

    Read preview

    About this ebook

    Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters.
    • Presents a powerful new technique for forecasting volatility
    • Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities
    • The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
    LanguageEnglish
    PublisherAcademic Press
    Release dateOct 13, 2008
    ISBN9780080559964
    Multifractal Volatility: Theory, Forecasting, and Pricing

    Related to Multifractal Volatility

    Related ebooks

    Economics For You

    View More
    View More

    Related podcast episodes

    Related articles

    • Article

      9 Great Alternative-Strategy Funds for Volatility

      May 26, 2022

      There have been few places to hide for investors this year. Both stocks and bonds have tumbled – since the start of 2022, the Vanguard Balanced fund, a portfolio of 60% stocks and 40% bonds, has lost 13%. Moreover, interest rates are still rising, in

      9 min read

    • Article

      The Magic of Moving Averages

      Jan 31, 2019

      When price charts begin to look like jagged mountain ranges, it can be hard to map out which way stocks are headed. Enter the simple moving average. The tool is a staple of technical analysis--the practice of determining the direction of stock prices

      2 min read

    • Article

      How To Spot A Financial Bubble

      Oct 2, 2020

      one of the most influential mathematicians of all time, Sir Isaac Newton, lost a fortune by investing in the South Sea Bubble of 1720. When asked why, with all his mathematical prowess, he could not foresee the collapse of the stock, he is reputed to

      3 min read

    • Article

      Technical Analysis Tools For Long-term Investing

      Oct 30, 2020

      in the 22 October issue of finweek, I wrote about how I am trying my hand at trading local equities for the first time in over a decade. Some aspects of my index trading have helped (discipline and risk management), but stocks are more volatile and n

      2 min read

    • Article

      Business applications For Quantum computing

      May 1, 2022

      COMPUTERS DO ARITHMETIC. Underlying every amazing application of computers today is math, calculated using binary digits or ‘bits.’ The original computers of the early 1950s could perform about 465 multiplications per second — much faster than the ‘h

      11 min read

    • Article

      What Is Cfd

      Jun 21, 2022

      What Is Cfd
      3 min read

    • Article

      Universal Quantum

      Mar 9, 2022

      Universal Quantum
      6 min read

    • Article

      ‘The Silk Road’: How Do You Take Technology out of the Lab and Into the World?

      Oct 11, 2017

      How to take discoveries out of the lab and into the lives of patients was the subject of the HUBweek panel discussion in the Ragon Institute’s auditorium.

      2 min read

    • Article

      “Q’s” Real Gadgets Could Go Beyond Lasers Inside Pens

      Jul 8, 2021

      Recently, I read Quantum Computing: How it Works and Why it Could Change the World by Amit Katwala. It’s a great intro to the present state of and prospects for quantum computing – not too technical, wasting little space on the basics but avoiding th

      2 min read

    • Article

      Hello, World!

      Oct 17, 2019

      Hello, World!
      3 min read

    • Article

      Moore’s Law Is About to Get Weird: Never mind tablet computers. Wait till you see bubbles and slime mold.

      Feb 12, 2015

      I’ve never seen the computer you’re reading this story on, but I can tell you a lot about it. It runs on electricity. It uses binary logic to carry out programmed instructions. It shuttles information using materials known as semiconductors. Its brai

      7 min read

    • Article

      Can Topology Prevent Another Financial Crash?: New regulations are applying network science to restructure global finance.

      Jun 30, 2016

      Could Kevin Bacon have saved us from the 2008 financial crisis? Probably not. But the network science behind six degrees of Kevin Bacon just well may have. According to the famous saying, every movie actor is separated from Kevin Bacon by six degrees

      12 min read

    • Article

      Animate 3d Fluids

      Aug 14, 2019

      Animate 3d Fluids
      3 min read

    • Article

      Letter Of The Month

      Jul 19, 2019

      Letter Of The Month
      10 min read

    • Article

      Dear Investor, Do Your Homework

      Oct 18, 2019

      many years ago, I lost a painful amount on a major European corporation which was part of a basket of equities that a high-priced money manager had assembled for me. The AAA-rated corporation suddenly went bankrupt and it was 10% of my portfolio. Nev

      5 min read

    • Article

      Memristor Setup Could Make Computer Chips More Efficient

      Jul 31, 2018

      A new way of arranging advanced computer components called memristors on a chip could pave the way for their use in general computing. This could cut energy consumption by a factor of 100. Using memristors would improve performance in low power envir

      2 min read

    Related categories

    Reviews for Multifractal Volatility

    0 ratings

    0 ratings0 reviews

    What did you think?

    Tap to rate

    Review must be at least 10 words

      Book preview

      Multifractal Volatility - Laurent E. Calvet

      Enjoying the preview?
      Page 1 of 1