City Research Online

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


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.

Publication Type: Article
Additional Information: Please cite as: Scaling and multiscaling in financial markets. Iori, Giulia, AIP Conference Proceedings, 553, 297-302 (2001), DOI:
Subjects: H Social Sciences > HG Finance
Departments: School of Policy & Global Affairs > Economics
Text - Accepted Version
Download (96kB) | Preview



Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login