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A multifractal model of asset returns, inspired by the 1997 paper by Mandelbrot, Fisher, Calvet.

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multifractal-asset-model

A multifractal model of asset returns, inspired by the 1997 paper by Mandelbrot, Fisher, Calvet and Mandelbrot's book "The Misbehavior of Markets".

Example Output

I have found this model very challenging to understand and implement from the texts available, hopefully this code helps others that are similarily inclined.

Code was written with https://github.com/Deckstar/Multifractal-Model-of-Asset-Returns-MMAR-for-Thesis as a closely studied reference to keep parity with output.

I believe that there are some subtle errors in the code at the moment. The magnitude of the real data does not match the simulated data, which is likely an error in my use of the stochastic library. The fBM model also seems to be overly centered around zero despite H > 0.50. That is probably a naive statement from me - I suspect that is a direct consequence of having a normal distribution at its core: the expected value is zero, regardless of the hurst exponent. That was not my intuition of what this should do. I don't yet understand fBM well enough to dig into alternatives.

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A multifractal model of asset returns, inspired by the 1997 paper by Mandelbrot, Fisher, Calvet.

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