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Essay / Research Paper Abstract
This 24 page paper examined the way that volatility forecasting has developed with the use of multifractal systems, inspired with the application of multifractal models from the natural world. The bibliography cites 9 sources.
Page Count:
24 pages (~225 words per page)
File: TS14_TEvolfore.rtf
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note that many of the equations in this paper are included as small images, as such they will not show up in the email version of the paper, but will
be visible in the file that is sent. 1. Introduction There have been many models developed which have sought to explain the
way that volatility take place in order to facilitate forecasting. Volatility forecasting may sound like an oxymoron, but in any variable assess where there is volatility there are usually constraints
that will limit the level or scope of the volatility and influences that may have a known impact. This means that the volatility is not purely random; that potential influencing
factors that may be used to predict movements. If this is the case, theoretically it should be possible to develop forecasting techniques that will make allowances for the different influences.
The difficulty is that in many instances of volatility there are many potential influences, these may have different causes and the interactions of the different factor may also be
variant depending on the combination of the influences which are present. One area where volatility forecasting that has sought to include many of differing influences has been seen is in
the financial market and the way stocks or share prices behave. While some theories have considered the issues of price movements, such as efficient market hypothesis and the way shares
are valued, other theories have undertaken the more complex task of assessing the volatility. In order to assess the way multifractal systems may give an insight into volatility analysis the
first stage is to look at the concept of a multifractal system before applying it to volatility analysis. 2. Multifractal Systems Multifractal analysis has been applied by a number of
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