Scaling and multiscaling in financial markets
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.
|Date of creation:||25 Jul 2000|
|Note:||Type of Document - Tex; prepared on unix; to print on PostScript; pages: 6; figures: included6|
|Contact details of provider:|| Web page: http://econwpa.repec.org|