Scaling and multiscaling in financial markets
AbstractThis 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0004006.
Length: 6 pages
Date of creation: 25 Jul 2000
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Note: Type of Document - Tex; prepared on unix; to print on PostScript; pages: 6; figures: included6
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- G - Financial Economics
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- Hokky Situngkir & Yohanes Surya, 2004.
"Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia,"
- Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Papers cond-mat/0403465, arXiv.org.
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