Market simulation with hierarchical information flux
Statistical Mechanics
2009-11-07 v1 Statistical Finance
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.
Cite
@article{arxiv.cond-mat/0205083,
title = {Market simulation with hierarchical information flux},
author = {Christian Schulze},
journal= {arXiv preprint arXiv:cond-mat/0205083},
year = {2009}
}
Comments
3 pages including 2 figures; for Int. J. Mod. Phys. C 13, No. 8