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Multiscale behavior of a simple model for stock markets

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  • Juan R. Sánchez

Abstract

The multiscale behavior of a recently reported model for stock markets is presented. It has been shown that indexes of real-world markets display absolute returns with memory properties on a long-time range, a phenomenon known as cluster volatility. The multiscale characteristics of an index are studied by analyzing the power-law scaling of the volatility correlations which display nonunique scaling exponents. Here such analysis is done on an artificial time series produced by a simple model for stock markets. After comparison, excellent agreements with the multiscale behavior of real-time series are found.

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  • Juan R. Sánchez, 2005. "Multiscale behavior of a simple model for stock markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2005, pages 1-7, January.
    • Handle: RePEc:hin:jnddns:289451
    DOI: 10.1155/DDNS.2005.111
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