Multifractal Model of Asset Returns versus real stock market dynamics

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Returns (MMAR) introduced by Mandelbrot in which multifractality is carried by time deformation. In our study we focus on the Lux extension to MMAR and empirical data from Warsaw Stock Exchange. We show that this model is able to reproduce relevant aspects of the real stock market dynamics.
Presented at 2nd Polish Symposium of Econo- and Sociophysics, Krakow Poland, to be published in Acta Phys. Pol

Keywords

Physics and Society, Statistical Finance

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/209077

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0605147
 http://arxiv.org/abs/physics/0605147
 Acta Phys. Pol. B 37, No 11, (2006), p3083.

Collections

arXiv