MARKET SIMULATION WITH HIERARCHICAL INFORMATION FLUX

Christian Schulze ()
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Christian Schulze: Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 08, 1151-1153

Abstract: We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution, and effective multifractality for intermediate times.

Keywords: Econophysics; Monte Carlo simulation; hierarchies; fat tails; multifractality (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102003838

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