Description: 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!
To Search:
File list (Check if you may need any files):
ffGn.m
license.txt
lognormal_cascade.m
mmar.m
Download