Scaling and Multi-scaling in Financial Markets
Statistical Mechanics
2009-10-31 v1 Statistical Finance
Abstract
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
Cite
@article{arxiv.cond-mat/0007385,
title = {Scaling and Multi-scaling in Financial Markets},
author = {Giulia Iori},
journal= {arXiv preprint arXiv:cond-mat/0007385},
year = {2009}
}
Comments
Paper presented at the Disordered and Complex Systems s conference, King's College London, July 2000