Multifractal Model of Asset Returns (MMAR)
版本 1.0.0.0 (4.2 KB) 作者:
Christian Wengert
Simulates a Multifractal Model of Asset Return using a multiplicative lognormal cascade
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 - 1997
The current implementation uses the generator for the fractional brownian motion from B. Scott Jackson. Many thanks!
引用格式
Christian Wengert (2024). Multifractal Model of Asset Returns (MMAR) (https://www.mathworks.com/matlabcentral/fileexchange/29686-multifractal-model-of-asset-returns-mmar), MATLAB Central File Exchange. 检索来源 .
MATLAB 版本兼容性
创建方式
R13
兼容任何版本
平台兼容性
Windows macOS Linux类别
在 Help Center 和 MATLAB Answers 中查找有关 Financial Toolbox 的更多信息
标签
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!版本 | 已发布 | 发行说明 | |
---|---|---|---|
1.0.0.0 |