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Analysis of Market Returns Using Multifractal Time Series and Agent-Based Simulation.

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Figure

Figure 2.1: An approximation of Brownian motion with 10,000 points
Figure 2.2:Fractional Brownian motion for different values H. From top to bottom H D 0:8, H D 0:7,H D 0:5, H D 0:3, and H D 0:2
Figure 2.3: An approximation of standard Brownian motion: 216 points
Figure 2.4: The multifractal spectrum of simulated standard Brownian motion
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