Scaling and Multiscaling in Financial Time Series

摘要

1/ A brief overview of financial markets * Basic definitions and problems related to finance Scaling in finance 2/ Empirical properties of financial time series Main 'stylized facts' Scaling properties 3/ Empirical models: From Bachelier to Mandelbrot Fat tails: Truncated Levy models Heteroskedaticity: Classical econometric models. Multifractal Models 4/ The MRW model Definition and scaling properties Estimation issues 5/ Applications Risk evaluation and forecasting Portfolio theory and option pricing 6/ Conclusion and prospects.