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Bacry, E., Delour, J., Muzy, J. F. (2001) Multifractal random walk. Physical Review E, 64 (2) doi:10.1103/physreve.64.026103

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Reference TypeJournal (article/letter/editorial)
TitleMultifractal random walk
JournalPhysical Review E
AuthorsBacry, E.Author
Delour, J.Author
Muzy, J. F.Author
Year2001 (July 17)Volume64
Issue2
PublisherAmerican Physical Society (APS)
DOIdoi:10.1103/physreve.64.026103Search in ResearchGate
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Mindat Ref. ID14486005Long-form Identifiermindat:1:5:14486005:2
GUID0
Full ReferenceBacry, E., Delour, J., Muzy, J. F. (2001) Multifractal random walk. Physical Review E, 64 (2) doi:10.1103/physreve.64.026103
Plain TextBacry, E., Delour, J., Muzy, J. F. (2001) Multifractal random walk. Physical Review E, 64 (2) doi:10.1103/physreve.64.026103
In(2001, July) Physical Review E Vol. 64 (2) American Physical Society (APS)

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Muzy, J. F., Bacry, E., Kozhemyak, A. (2006) Extreme values and fat tails of multifractal fluctuations. Physical Review E, 73 (6) doi:10.1103/physreve.73.066114
Bacry, E., Delour, J., Muzy, J.F. (2001) Modelling financial time series using multifractal random walks. Physica A: Statistical Mechanics and its Applications, 299 (1). 84-92 doi:10.1016/s0378-4371(01)00284-9
Muzy, Jean-François, Bacry, Emmanuel (2002) Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws. Physical Review E, 66 (5) doi:10.1103/physreve.66.056121
Muzy, J. F., Bacry, E., Arneodo, A. (1993) Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method. Physical Review E, 47 (2) 875-884 doi:10.1103/physreve.47.875
Muzy, J. F., Bacry, E., Arneodo, A. (1991) Wavelets and multifractal formalism for singular signals: Application to turbulence data. Physical Review Letters, 67 (25). 3515-3518 doi:10.1103/physrevlett.67.3515
Arneodo, A., Bacry, E., Manneville, S., Muzy, J. F. (1998) Analysis of Random Cascades Using Space-Scale Correlation Functions. Physical Review Letters, 80 (4). 708-711 doi:10.1103/physrevlett.80.708
Muzy, J.F., Delour, J., Bacry, E. (2000) Modelling fluctuations of financial time series: from cascade process to stochastic volatility model. The European Physical Journal B, 17 (3). 537-548 doi:10.1007/s100510070131
Arneodo, A., Bacry, E., Muzy, J. F. (1995) Oscillating Singularities in Locally Self-Similar Functions. Physical Review Letters, 74 (24). 4823-4826 doi:10.1103/physrevlett.74.4823
Arneodo, A., Bacry, E., Muzy, J. F. (1998) Random cascades on wavelet dyadic trees. Journal of Mathematical Physics, 39. 4142-4164 doi:10.1063/1.532489
Ódor, Géza (2001) Critical branching-annihilating random walk of two species. Physical Review E, 63 (2) doi:10.1103/physreve.63.021113
Arneodo, A., Bacry, E., Jaffard, S., Muzy, J. F. (1997) Oscillating singularities on cantor sets: A grand-canonical multifractal formalism. Journal of Statistical Physics, 87. 179-209 doi:10.1007/bf02181485
 
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