• Phone +44-020-7040-4575
  • Fax + 44-020-7040-8580

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

Research Areas