Market Simulation Displaying Multifractality
统计力学
2008-12-02 v1 交易与市场微观结构
摘要
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.
关键词
引用
@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}
}
备注
6 pages,8 figures,The Nikkei Symposium on Application of Econophysics