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!




File list:
ffGn.m
license.txt
lognormal_cascade.m
mmar.m