Market simulation with hierarchical information flux

Details Market simulation with hierarchical information flux Market simulation with hierarchical information flux

2002-05-04

arxiv.org/abs/cond-mat/0205083v1

Physics

Condensed Matter

Statistical Mechanics

3 pages including 2 figures; for Int. J. Mod. Phys. C 13, No. 8

Scientific paper

10.1142/S0129183102003838

We assume the market price to diffuse in a hierarchical comb of barriers, the
heights of which represent the importance of new information entering the
market. We find fat tails with the desired exponent for the price change
distribution, and effective multifractality for intermediate times.

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