Scaling and multiscaling in financial markets
Giulia Iori ()
Finance from University Library of Munich, Germany
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)
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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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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