Multiscale Analysis of Market Prices

Orateur: Josselin GARNIER
Localisation: École polytechnique, France
Type: Séminaire cristolien d'analyse multifractale
Site: UPEC
Salle: UPEC - salle du conseil P2 131
Date de début: 24/01/2019 - 13:45
Date de fin: 24/01/2019 - 14:45

It has been well known since the pioneering work of Mandelbrot
that market price fluctuations are poorly modeled and described by
discrete time random walks or continuous diffusions driven by stan-
dard Brownian motions. In this talk we analyze financial time series
such as oil or bitcoin prices. The data exhibit very interesting multis-
cale correlation structures that can be characterized by a time-varying
volatility and Hurst exponent and that can be used to identify regime
shifts for the market prices. This is a joint work with Knut Sølna (UC