Vedant Shetty

Multifractal Scaling in Cross-Sectoral Financial Markets: Connections with Diffusion and Chaos

Financial returns are known to depart from Gaussian, uniform-scaling behaviour,yet standard risk models, Gaussian value-at-risk, mean-variance optimisation,still assume it, systematically mispricing tail risk. This paper does not re-establishthat departure; it isolates the specific channels through which it arises, sin...