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Scaling and multiscaling in financial markets

Author

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  • Giulia Iori

    (King's College, London)

Abstract

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a possible explanation for the complex dynamics of markets' returns. Scaling and multi-scaling analysis performed on the simulated data is in good quantitative agreement with the empirical results.

Suggested Citation

  • Giulia Iori, 2000. "Scaling and multiscaling in financial markets," Finance 0004006, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0004006
    Note: Type of Document - Tex; prepared on unix; to print on PostScript; pages: 6; figures: included6
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0004/0004006.pdf
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    Cited by:

    1. Castiglione, Filippo & Stauffer, Dietrich, 2001. "Multi-scaling in the Cont–Bouchaud microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 531-538.
    2. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Papers cond-mat/0403465, arXiv.org.

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    JEL classification:

    • G - Financial Economics

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