Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

This paper reviews some recent work in which Lévy processes are used to model and
analyse time series from financial econometrics. A main feature of the paper is the use of …

This book concerns the use of concepts from statistical physics in the description of financial
systems. The authors illustrate the scaling concepts used in probability theory, critical …

We present a set of stylized empirical facts emerging from the statistical analysis of price
variations in various types of financial markets. We first discuss some general issues …

Non‐Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing
important distributional deviations from Gaussianity and for flexible modelling of …

The story of modelling financial markets with stochastic processes began in 1900 with the
study of Bachelier (1900). He modelled stocks as a Brownian motion with drift. However, the …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

We present a simple model of a stock market where a random communication structure
between agents generically gives rise to heavy tails in the distribution of stock price …

Limit order books (LOBs) match buyers and sellers in more than half of the world's financial
markets. This survey highlights the insights that have emerged from the wealth of empirical …

Thirteen years have passed by since the publication of the first edition of this book. Its
favorable reception encouraged us to work on this second edition. We took advantage of this …