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Scaling and multiscaling in financial markets

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Author Info
Giulia Iori (King's College, London)

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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://129.3.20.41/eps/fin/papers/0004/0004006.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0004006.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 6 pages
Date of creation: 25 Jul 2000
Date of revision:
Handle: RePEc:wpa:wuwpfi:0004006

Note: Type of Document - Tex; prepared on unix; to print on PostScript; pages: 6; figures: included6
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Web page: http://129.3.20.41

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G - Financial Economics

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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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This page was last updated on 2009-12-13.

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