Market Simulation Displaying Multifractality
Statistical Mechanics
2008-12-02 v1 Trading and Market Microstructure
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.
Keywords
Cite
@article{arxiv.cond-mat/0304331,
title = {Market Simulation Displaying Multifractality},
author = {Kazuko Yamasaki and Kenneth J. Mackin},
journal= {arXiv preprint arXiv:cond-mat/0304331},
year = {2008}
}
Comments
6 pages,8 figures,The Nikkei Symposium on Application of Econophysics