Multifractal Model of Asset Returns versus real stock market dynamics

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dc.creatorOswiecimka, P.
dc.creatorKwapien, J.
dc.creatorDrozdz, S.
dc.creatorGorski, A. Z.
dc.creatorRak, R.
dc.date2006-05-17
dc.date2006-08-31
dc.date.accessioned2026-07-07T12:07:44Z
dc.date.available2026-07-07T12:07:44Z
dc.descriptionThere 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.
dc.descriptionPresented at 2nd Polish Symposium of Econo- and Sociophysics, Krakow Poland, to be published in Acta Phys. Pol
dc.identifierhttps://arxiv.org/abs/physics/0605147
dc.identifierhttp://arxiv.org/abs/physics/0605147
dc.identifierActa Phys. Pol. B 37, No 11, (2006), p3083.
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209077
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleMultifractal Model of Asset Returns versus real stock market dynamics
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