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Scaling and Multi-scaling in Financial Markets


  • Giulia Iori


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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  • Giulia Iori, 2000. "Scaling and Multi-scaling in Financial Markets," Papers cond-mat/0007385,
  • Handle: RePEc:arx:papers:cond-mat/0007385

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    1. repec:dau:papers:123456789/12729 is not listed on IDEAS
    2. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
    3. Gaëlle Le Fol & Mercier Ludovic, 1998. "Time Deformation: Definition and Comparisons," Post-Print halshs-00586097, HAL.
    4. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
    5. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
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    Cited by:

    1. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, EconWPA.
    2. Castiglione, Filippo & Stauffer, Dietrich, 2001. "Multi-scaling in the Cont–Bouchaud microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 531-538.

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