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Scaling and Multi-scaling in Financial Markets

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Giulia Iori

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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.

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File URL: http://arxiv.org/abs/cond-mat/0007385
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File URL: http://arxiv.org/pdf/cond-mat/0007385
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0007385.

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Date of creation: Jul 2000
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Handle: RePEc:arx:papers:cond-mat/0007385

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  1. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, EconWPA. [Downloadable!]
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