Building multi-scale portfolios and efficient market frontiers using fractal regressions

Tilfani, Oussama; Ferreira, Paulo; Boukfaoui, My Youssef El

doi:10.1016/j.physa.2019.121758

Search citation statements

Order By: Relevance

Paper Sections

Select...

Applications and Implications Of Multifractal Analysis1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2021

2023

Publication Types

Select...

Article6

Relationship

Self Cite0

Independent6

Authors

Journals

Cited by 11 publications

(1 citation statement)

References 46 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Using fractal regression to build the efficient frontier in multifractal terms [183] does more than recast the canonical CAPM as a guide to asset allocation and risk management for changing market conditions [184]. It also creates a novel application for the fractal CAPM: alerting regulators to sudden losses of liquidity and the emergence of incipient financial crises [184] (p. 8). The self-similarity exponent of financial time series may signal herding behavior, an ominous omen of many market crashes [185].…”

Section: Applications and Implications Of Multifractal Analysismentioning

confidence: 99%