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Authors: G.Iori
Journal: in Disordered and Complex Systems, ed. P.Sollich et al., AIP Conference Proceedings, Vol 553, 297-302 (2001).
Year: 2001
Status: Book Chapters
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.
Link: https://aip.scitation.org/doi/abs/10.1063/1.1358199
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