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Multifractal Model of Asset Returns (MMAR)

version 1.0.0.0 (4.21 KB) by Christian Wengert
Simulates a Multifractal Model of Asset Return using a multiplicative lognormal cascade

2K Downloads

Updated 12 Dec 2010

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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 - 1997

The current implementation uses the generator for the fractional brownian motion from B. Scott Jackson. Many thanks!

Cite As

Christian Wengert (2021). Multifractal Model of Asset Returns (MMAR) (https://www.mathworks.com/matlabcentral/fileexchange/29686-multifractal-model-of-asset-returns-mmar), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
Windows macOS Linux

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