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
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 (2024). 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
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Version | Published | Release Notes | |
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1.0.0.0 |