Hi,
Multifractal Model of Asset Return (MMAR) is a relatively new model for
financial time series this work was done by Benoit Mandelbrot, Adlai Fisher
and Laurent Calvet. For those interested in the model you can find papers @
http://www.stern.nyu.edu/~afisher/papers.html (papers number 1164:1166)
I'm new to R and I was wondering if anyone of you had tried to implement
this model in R before I made any attempt by myself?
In the event that no one as done it then I'd like to know if someone would
like to work at it? My goal is to implement the model with R on the Standard
& Poors 100 or 500 primarily and then try to model the pricing of financial
derivative based on the MMAR approach.
Thanks in advance.
Yves Gauvreau
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