Multifractal Model of Asset Returns (MMAR) 1.0

Date Added: May 06, 2013 | Visits: 526

$Multifractal Model of Asset Returns (MMAR)$

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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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