A Comparison of Multifractal Models for Assets Returns in Economic Perspective

This paper compares multifractal models for assets returns from four aspects of economic perspective: ability of reproducing stylized facts, support of economic theory, accuracy of forecasting and explaining, mathematical elegancy and computational parsimony. All the multifractal models, according to their hypotheses and logic, can be classified into three categories, the representatives of which are MRW, MSM and SEMF respectively. Comparing with the models in classical finance, the multifractal models have better forecasting performance and more excellent ability to reproduce stylized facts. MRW has a little preponderance in reproducing stylized facts but fewer literature and empirical estimated method than MSM. MSM has more preponderance in dealing with multi-frequency asset returns than MRW. SEMF is better than MRW and MSM in four aspects of economic perspective but has the least literature and empirical estimated method than MSM or MRW. The SEMF and its extend models have extraordinary advantage and glamour for economists and are worth further research.