Multifractality in the Random Parameters Model

Details Multifractality in the Random Parameters Model Multifractality in the Random Parameters Model

2007-10-29

arxiv.org/abs/0710.5497v1

Economy

Quantitative Finance

Statistical Finance

9 pages, 6 figures

Scientific paper

The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore other properties of the model, like the scaling of its PDF as one take larger scales. Special attention is given to the multifractal structure of the model time series, which revealed a scaling structure compatible with the known stylized facts for a reasonable choice of the parameter values.

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