Scaling and multiscaling in financial markets

Iori, G. (2001). Scaling and multiscaling in financial markets. AIP Conference Proceedings, 553, pp. 297-302. doi: 10.1063/1.1358199

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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.

Item Type: Article
Additional Information: Please cite as: Scaling and multiscaling in financial markets. Iori, Giulia, AIP Conference Proceedings, 553, 297-302 (2001), DOI:http://dx.doi.org/10.1063/1.1358199
Subjects: H Social Sciences > HG Finance
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/14605

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