Scaling and Multi-scaling in Financial Markets

Giulia Iori ()

Quantitative Finance Papers from arXiv.org

Abstract: This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a possible explanation for the complex dynamics of markets' returns. Scaling and multi-scaling analysis performed on the simulated data is in good quantitative agreement with the empirical results.

Date: 2000-07
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Related works:
Working Paper: Scaling and multiscaling in financial markets (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0007385

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