Financial Engineering

By Serge-Paul Carrasco on January 17, 2009

Multifractal Model of Asset Returns

(B) The price of a stock or any other asset trading on the stock market is a multifractal process with fat tails and long-term dependency. The Multifractal Model of Asset […]

By Serge-Paul Carrasco on January 10, 2009

Multifractality of the Stock Market

(B) Fractal Geometry is at the heart of Financial Engineering. Pioneered in early 1960 by French American Mathematician Benoit Mandelbrot, a retired Professor from Yale University and an IBM Scientist and […]