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Multifractal Model of Asset Returns (MMAR) 1.0

  Date Added: May 06, 2013  |  Visits: 256

Multifractal Model of Asset Returns (MMAR)

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Simulates a Multifractal Model of Asset Return using a multiplicative lognormal cascade See the following papaer A Multifractal Model of Asset Returns by B Mandelbrot - 1997The current implementation uses the generator for the fractional brownian motion from B. Scott Jackson. Many thanks!

Requirements: No special requirements
Platforms: Matlab
Keyword: Asset Mmar Model Multifractal Returns Scripts
Users rating: 0/10

License: Freeware Size: 10 KB
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