Statements (18)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:application |
modeling financial time series
|
| gptkbp:citation |
Bacry, E., Delour, J., & Muzy, J. F. (2001). Multifractal random walk. Physical Review E, 64(2), 026103.
|
| gptkbp:feature |
multifractality
stochastic volatility |
| gptkbp:field |
mathematical finance
stochastic processes |
| gptkbp:fullName |
Multifractal Random Walk model
|
| https://www.w3.org/2000/01/rdf-schema#label |
MRW model
|
| gptkbp:proposedBy |
gptkb:Benoit_Mandelbrot
Emmanuel Bacry Jean-François Muzy |
| gptkbp:relatedTo |
Brownian motion
turbulence modeling multifractal processes |
| gptkbp:yearProposed |
2001
|
| gptkbp:bfsParent |
gptkb:Mankiw–Romer–Weil_model
|
| gptkbp:bfsLayer |
7
|