Market Simulation Displaying Multifractality

Details Market Simulation Displaying Multifractality Market Simulation Displaying Multifractality

2003-04-15

arxiv.org/abs/cond-mat/0304331v1

Physics

Condensed Matter

Statistical Mechanics

6 pages,8 figures,The Nikkei Symposium on Application of Econophysics

Scientific paper

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

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