Large Deviations and the Distribution of Price Changes

The Multifractal Model of Asset Returns ("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes' increments over finite time intervals. In the present paper, we discuss the local behavior of multifractal processes. We employ local Holder exponents, a fundamental concept in real analysis that describes the local scaling properties of a realized path at any point in time. In contrast with the standard models of continuous time finance, multifractal processes contain a multiplicity of local Holder exponents within any finite time interval. We characterize the distribution of Holder exponents by the multifractal spectrum of the process. For a broad class of multifractal processes, this distribution can be obtained by an application of Cramer's Large Deviation Theory. In an alternative interpretation, the multifractal spectrum describes the fractal dimension of the set of points having a given local Holder exponent. Finally, we show how to obtain processes with varied spectra. This allows the applied researcher to relate an empirical estimate of the multifractal spectrum back to a particular construction of the Stochastic process.Multifractal model of asset returns, multifractal spectrum, compound stochastic process, subordinated stochastic process, time deformation, scaling laws, self-similarity, self-affinity

Multifractality of Deutschemark/US Dollar Exchange Rates

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically, researchers introduce temporal heterogeneity through time-varying conditional second moments in a discrete time framework. Multifractality introduces a new source of heterogeneity through time-varying local regularity in the price path. The concept of local Holder exponent describes local regularity. Multifractal processes bridge the gap between locally Gaussian (Ito) diffusions and jump-diffusions by allowing a multiplicity of Holder exponents. This paper investigates multifractality in Deutschemark/US Dollar currency exchange rates. After finding evidence of multifractal scaling, we show how to estimate the multifractal spectrum via the Legendre transform. The scaling laws found in the data are replicated in simulations. Further simulation experiments test whether alternative representations, such as FIGARCH, are likely to replicate the multifractal signature of the Deutschemark/US Dollar data. On the basis of this evidence, the MMAR hypothesis appears more likely. Overall, the MMAR is quite successful in uncovering a previously unseen empirical regularity. Additionally, the model generates realistic sample paths, and opens the door to new theoretical and applied approaches to asset pricing and risk valuation. We conclude by advocating further empirical study of multifractality in financial data, along with more intensive study of estimation techniques and inference procedures.Multifractal model of asset returns, multifractal process, compound stochastic process, trading time, time deformation, scaling laws, multiscaling, self-similarity, self-affinity

Empirical distributions of Chinese stock returns at different microscopic timescales

We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns at the one-trade timescale obey the inverse cubic law. For larger timescales (2-32 trades and 1-5 minutes), the returns follow the Student distribution with power-law tails. With the decrease of timescale, the tail becomes fatter, which is consistent with the vibrational theory.Comment: 14 Elsart page including 2 tables and 3 figure

Non-Abelian gauge field theory in scale relativity

Gauge field theory is developed in the framework of scale relativity. In this theory, space-time is described as a non-differentiable continuum, which implies it is fractal, i.e., explicitly dependent on internal scale variables. Owing to the principle of relativity that has been extended to scales, these scale variables can themselves become functions of the space-time coordinates. Therefore, a coupling is expected between displacements in the fractal space-time and the transformations of these scale variables. In previous works, an Abelian gauge theory (electromagnetism) has been derived as a consequence of this coupling for global dilations and/or contractions. We consider here more general transformations of the scale variables by taking into account separate dilations for each of them, which yield non-Abelian gauge theories. We identify these transformations with the usual gauge transformations. The gauge fields naturally appear as a new geometric contribution to the total variation of the action involving these scale variables, while the gauge charges emerge as the generators of the scale transformation group. A generalized action is identified with the scale-relativistic invariant. The gauge charges are the conservative quantities, conjugates of the scale variables through the action, which find their origin in the symmetries of the ``scale-space''. We thus found in a geometric way and recover the expression for the covariant derivative of gauge theory. Adding the requirement that under the scale transformations the fermion multiplets and the boson fields transform such that the derived Lagrangian remains invariant, we obtain gauge theories as a consequence of scale symmetries issued from a geometric space-time description.Comment: 24 pages, LaTe

The breadth of maternal HIV-1 specific neutralizing antibodies is not associated with a lower risk of mother-to-infant transmission

International audienc

Gaussian multiplicative Chaos for symmetric isotropic matrices

Motivated by isotropic fully developed turbulence, we define a theory of symmetric matrix valued isotropic Gaussian multiplicative chaos. Our construction extends the scalar theory developed by J.P. Kahane in 1985

Large Deviations and the Distribution of Price Changes

The Multifractal Model of Asset Returns (“MMAR,” see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes’ increments over finite time intervals. In the present paper, we discuss the local behavior of multifractal processes. We employ local Hölder exponents, a fundamental concept in real analysis that describes the local scaling properties of a realized path at any point in time. In contrast with the standard models of continuous time finance, multifractal processes contain a multiplicity of local Hölder exponents within any finite time interval. We characterize the distribution of Hölder exponents by the multifractal spectrum of the process. For a broad class of multifractal processes, this distribution can be obtained by an application of Cramèr’s Large Deviation Theory. In an alternative interpretation, the multifractal spectrum describes the fractal dimension of the set of points having a given local Hölder exponent. Finally, we show how to obtain processes with varied spectra. This allows the applied researcher to relate an empirical estimate of the multifractal spectrum back to a particular construction of the Stochastic process

Multifractality of Deutschemark/US Dollar Exchange Rates

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns (“MMAR”). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically, researchers introduce temporal heterogeneity through time-varying conditional second moments in a discrete time framework. Multifractality introduces a new source of heterogeneity through time-varying local regularity in the price path. The concept of local Hölder exponent describes local regularity. Multifractal processes bridge the gap between locally Gaussian (Itô) diffusions and jump-diffusions by allowing a multiplicity of Hölder exponents. This paper investigates multifractality in Deutschemark/US Dollar currency exchange rates. After finding evidence of multifractal scaling, we show how to estimate the multifractal spectrum via the Legendre transform. The scaling laws found in the data are replicated in simulations. Further simulation experiments test whether alternative representations, such as FIGARCH, are likely to replicate the multifractal signature of the Deutschemark/US Dollar data. On the basis of this evidence, the MMAR hypothesis appears more likely. Overall, the MMAR is quite successful in uncovering a previously unseen empirical regularity. Additionally, the model generates realistic sample paths, and opens the door to new theoretical and applied approaches to asset pricing and risk valuation. We conclude by advocating further empirical study of multifractality in financial data, along with more intensive study of estimation techniques and inference procedures

Quantum-classical transition in Scale Relativity

The theory of scale relativity provides a new insight into the origin of fundamental laws in physics. Its application to microphysics allows us to recover quantum mechanics as mechanics on a non-differentiable (fractal) spacetime. The Schrodinger and Klein-Gordon equations are demonstrated as geodesic equations in this framework. A development of the intrinsic properties of this theory, using the mathematical tool of Hamilton's bi-quaternions, leads us to a derivation of the Dirac equation within the scale-relativity paradigm. The complex form of the wavefunction in the Schrodinger and Klein-Gordon equations follows from the non-differentiability of the geometry, since it involves a breaking of the invariance under the reflection symmetry on the (proper) time differential element (ds - ds). This mechanism is generalized for obtaining the bi-quaternionic nature of the Dirac spinor by adding a further symmetry breaking due to non-differentiability, namely the differential coordinate reflection symmetry (dx^mu - dx^mu) and by requiring invariance under parity and time inversion. The Pauli equation is recovered as a non-relativistic-motion approximation of the Dirac equation.Comment: 28 pages, no figur

Long-Term Outcomes in Children with Congenital Toxoplasmosis-A Systematic Review.

Even in the absence of manifestations at birth, children with congenital toxoplasmosis (CT) may develop serious long-term sequelae later in life. This systematic review aims to present the current state of knowledge to base an informed decision on how to optimally manage these pregnancies and children. For this, a systematic literature search was performed on 28 July 2022 in PubMed, CENTRAL, ClinicalTrials.gov, Google Scholar and Scopus to identify all prospective and retrospective studies on congenital toxoplasmosis and its long-term outcomes that were evaluated by the authors. We included 31 research papers from several countries. Virulent parasite strains, low socioeconomic status and any delay of treatment seem to contribute to a worse outcome, whereas an early diagnosis of CT as a consequence of prenatal screening may be beneficial. The rate of ocular lesions in treated children increases over time to 30% in European and over 70% in South American children and can be considerably reduced by early treatment in the first year of life. After treatment, new neurological manifestations are not reported, while ocular recurrences are observed in more than 50% of patients, with a mild to moderate impact on quality of life in European cohorts when compared to a significantly reduced quality of life in the more severely affected South American children. Though CT is rare and less severe in Europe when compared with South America, antenatal screening is the only effective way to diagnose and treat affected individuals at the earliest possible time in order to reduce the burden of disease and achieve satisfying outcomes