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Older Versions of Multifractal Papers - Joint with Laurent Calvet and Benoit Mandelbrot.

These papers first appeared as Cowles' Foundation Discussion Papers in 1997. The publication "Multifractality in Asset Returns: Theory and Evidence" with L. Calvet contains parts of these working papers.

A Multifractal Model of Asset Returns. Cowles Foundation Discussion Paper No. 1164 (Mandelbrot, Fisher, and Calvet; September 1997). abstract
- TEXT pdf (458 kb). For other format options, click here.
- FIGURES ONLY Postscript (4.8 mb)
- FIGURES ONLY pdf (1.4 mb)
- FIGURES ONLY zipped Postscript (1.0 mb)

Large Deviations and the Distribution of Price Changes. Cowles Foundation Discussion Paper No. 1165 (Calvet, Fisher, and Mandelbrot; September 1997). abstract
- pdf (676 kb). For other format options, click here.

Multifractality of Deutschemark / US Dollar Exchange Rates. Cowles Foundation Discussion Paper No. 1166 (Fisher, Calvet, and Mandelbrot; September 1997). abstract
- TEXT pdf (506 kb). For other format options, click here.
- FIGURES ONLY Postscript (6.3 mb)
- FIGURES ONLY pdf (3.51 mb)
- FIGURES ONLY zipped Postscript (1.8 mb)

Other

Diversification of Jump Risk in a Latent Factor Jump-Diffusion Model of Stock Returns. September, 1998.
- Postscript (540 kb)
- pdf (281 kb)

Hidden Information and the 1987 Market Crash. October, 2001. pdf.