Exogenous shock and multifractal random walk

Koji Kuroda () and Jun-ichi Maskawa ()
Additional contact information
Koji Kuroda: Nihon University
Jun-ichi Maskawa: Seijo University

Evolutionary and Institutional Economics Review, 2019, vol. 16, issue 1, No 12, 213-238

Abstract: Abstract We construct a log-volatility process for Multifractal Random Walk from a discrete time model as a scale limit and consider an exogenous shock and the relaxation process of the volatility. In this construction, taking an effect of exogenous shock into account, we consider a model for trades transacted by traders with different investment time horizons. Using the method of cluster expansion developed in mathematical physics, we obtain the convergence of scale limit of log-volatility process. For this scale limit, we prove the relaxation of the volatility after exogenous shock is given by an inverse power law $$\frac{1}{t^\delta }$$ 1 t δ with exponent $$\delta =1$$ δ = 1 .

Keywords: Exogenous shock; Multifractal; Investment time horizon; Abstract polymer expansion (search for similar items in EconPapers)
JEL-codes: C02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s40844-018-0106-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eaiere:v:16:y:2019:i:1:d:10.1007_s40844-018-0106-9

Ordering information: This journal article can be ordered from
https://www.springer ... theory/journal/40844

DOI: 10.1007/s40844-018-0106-9

Access Statistics for this article

Evolutionary and Institutional Economics Review is currently edited by Kiichiro Yagi, Yuji Aruka and Takahiro Fujimoto

More articles in Evolutionary and Institutional Economics Review from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().