نوسانات چندفرکتالی: نظریه، پیش‌بینی و قیمت‌گذاری (انتشارات آکادمیک پیشرفته مالی)

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of their book is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. · Presents a powerful new technique for forecasting volatility · Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities. · The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of their book is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters.

· Presents a powerful new technique for forecasting volatility
· Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities.
· The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research cover.jpg......Page 1 sdarticle.pdf......Page 2 sdarticle_001.pdf......Page 4 sdarticle_002.pdf......Page 7 sdarticle_003.pdf......Page 8 sdarticle_004.pdf......Page 18 sdarticle_005.pdf......Page 23 sdarticle_006.pdf......Page 52 sdarticle_007.pdf......Page 82 sdarticle_008.pdf......Page 95 sdarticle_009.pdf......Page 104 sdarticle_010.pdf......Page 120 sdarticle_011.pdf......Page 141 sdarticle_012.pdf......Page 173 sdarticle_013.pdf......Page 188 sdarticle_014.pdf......Page 192 sdarticle_015.pdf......Page 223 sdarticle_016.pdf......Page 245 "Laurent Calvet and Adlai Fisher show in this book that a simple class of models efficiently captures seemingly disparate aspects of financial market returns. Inspired by earlier uses of multifractals in the natural sciences, the authors construct multifrequency regime-switching models that are convenient to estimate, provide excellent volatility forecasts and easily integrate into asset pricing applications."--Jacket