Scaling and multiscaling in financial markets

Giulia Iori

Finance from University Library of Munich, Germany

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.

Keywords: s (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 6 pages
Date: 2000-07-25
New Economics Papers: this item is included in nep-fmk
Note: Type of Document - Tex; prepared on unix; to print on PostScript; pages: 6; figures: included6
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Citations: View citations in EconPapers (1)

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https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0004/0004006.pdf (application/pdf)

Related works:
Working Paper: Scaling and Multi-scaling in Financial Markets (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0004006

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