Charles Martineau

Last sum­mer I had the plea­sure to assist my adviser Prof. Adlai Fisher and his buddy and co-author Prof. Lau­rent Cal­vet at HEC Paris to do some research assis­tance on their new paper to be pub­lished in the Con­tem­po­rary Math­e­mat­ics titled Extreme Risk and Frac­tal Reg­u­lar­ity in Finance.  Their paper is a review of mul­ti­frac­tals in finance with an updated com­po­nent of two of their pre­vi­ous papers: (1) Mul­ti­frac­tal­ity in Asset Returns; and (2) How to Fore­cast Long Run Volatility.

I plan for the begin­ning of the sum­mer to put online the codes to repli­cate these papers. There seems to be more and more inter­est in frac­tals in finance… take a look at an inter­est­ing forth­com­ing paper in the Jour­nal of Finan­cial Econo­met­rics by Chen, Diebold, and Schorfheide titled A Markov-switching mul­ti­frac­tal inter-trade dura­tion model, with appli­ca­tion to US equi­ties.