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mmar

于 2010-12-14 发布文件大小:4KB

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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! )

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