Market Simulation Displaying Multifractality

Kazuko Yamasaki and Kenneth J. Mackin

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Abstract: We proposed a market simulation model (micro model) which displays multifractality and reproduces many important stylized facts of speculative markets. From this model we analytically extracted the MMAR model (Multifractal Model of Asset Returns) for the macroscopic limit.

Date: 2003-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0304331

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