𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Leverage, excess leverage, and future returns

✍ Scribed by Judson Caskey; John Hughes; Jing Liu


Book ID
113078676
Publisher
Springer US
Year
2011
Tongue
English
Weight
304 KB
Volume
17
Category
Article
ISSN
1380-6653

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Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the ΓΏrst part of the paper we discuss the framework of the Lux model and reΓΏne the underlying phenomenological picture. W