Article

Applying the Multifractal Model of Asset Returns (MMAR) to Financial Markets: Insights and Limitations

2024-09-25

Abstract excerpt

This study presents an application of fractal mathematics to financial markets through the utilization of the Multifractal Model of Asset Returns (MMAR). The model is employed to analyse a 30-year dataset encompassing three distinct financial markets: the USD/NOK currency pair, the OMXS30 stock index, and the 12-month LIBOR rate. The MMAR model successfully captures essential stylized facts about financial markets...

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Literature Corpus work: 0a93dc2e-55b4-533f-99cd-cdd798c14ad7
DOI: 10.20944/preprints202409.1986.v1

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