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Multifractality in the Random Parameters Model

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  • Camilo Rodrigues Neto
  • Andr' e C. R. Martins

Abstract

The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore other properties of the model, like the scaling of its PDF as one take larger scales. Special attention is given to the multifractal structure of the model time series, which revealed a scaling structure compatible with the known stylized facts for a reasonable choice of the parameter values.

Suggested Citation

  • Camilo Rodrigues Neto & Andr' e C. R. Martins, 2007. "Multifractality in the Random Parameters Model," Papers 0710.5497, arXiv.org.
  • Handle: RePEc:arx:papers:0710.5497
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    File URL: http://arxiv.org/pdf/0710.5497
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    References listed on IDEAS

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    1. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    2. Andre C. R. Martins, 2007. "Random, but not so much: A parameterization for the returns and correlation matrix of financial time series," Papers physics/0701025, arXiv.org.
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