Market Simulation Displaying Multifractality

  • Kazuko Yamasaki
  • Kenneth J. Mackin
Conference paper


We proposed a market simulation model (micro model) which displays nmltifractality and reproduces many important stylized facts of speculative markets. From this model we analytically extracted the MMAR model (IVluitifractal Model of Asset Returns) [3] for the macroscopic limit.


Stylize Fact Fractional Brownian Motion Asset Return Micro Model Multifractal Spectrum 


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Copyright information

© Springer Japan 2004

Authors and Affiliations

  • Kazuko Yamasaki
    • 1
  • Kenneth J. Mackin
    • 1
  1. 1.Tokyo University of Information SciencesYatou townJapan

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