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Market Simulation Displaying Multifractality

  • Kazuko Yamasaki
  • Kenneth J. Mackin
Conference paper

Summary

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.

Keywords

Stylize Fact Fractional Brownian Motion Asset Return Micro Model Multifractal Spectrum 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. 1.
    M. Ausloos and I. Ivanova. Comput. Phys. Commun, 147.Google Scholar
  2. 2.
    J.W. Kantelhardt, S. Zschiegner, E. Kuscielny-Bunde, S. Havlin, A. Bunde, and H.E. Stanley. Multifractal detrended fluctuation analysis of nonstationary time series. Physica A,316.Google Scholar
  3. 3.
    B. 11.7anclelbrot, A. Fisher, and L. Calvet. A multifractal model of asset returns. Yale university working paper.Google Scholar
  4. 4.
    A. Sato and H. Takayasu. Dynamic numerical models of stock market price -from microspic determinism to macroscopic randomness. Ph.ysicn. A,250.Google Scholar

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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