Market Simulation Displaying Multifractality
Kazuko Yamasaki, Kenneth J. Mackin
TL;DR
This paper introduces a market simulation model that captures multifractality and key stylized facts of speculative markets, and derives an analytical macroscopic model from it.
Contribution
The paper presents a novel micro-level market simulation model that reproduces multifractality and derives the MMAR model analytically.
Findings
Simulation displays multifractality consistent with real markets
Model reproduces stylized facts of speculative markets
Derived MMAR model analytically from the micro model
Abstract
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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Taxonomy
TopicsComplex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Stock Market Forecasting Methods