Market Simulation Displaying Multifractality

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dc.creatorYamasaki, Kazuko
dc.creatorMackin, Kenneth J.
dc.date2003-04-15
dc.date.accessioned2026-07-07T12:06:46Z
dc.date.available2026-07-07T12:06:46Z
dc.descriptionWe 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.
dc.description6 pages,8 figures,The Nikkei Symposium on Application of Econophysics
dc.identifierhttps://arxiv.org/abs/cond-mat/0304331
dc.identifierhttp://arxiv.org/abs/cond-mat/0304331
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208753
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleMarket Simulation Displaying Multifractality
dc.typetext

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