登入選單

返回Google圖書搜尋

Scaling and Multi-Scaling in Financial Markets

Giulia Iori

出版	SSRN, 2000
URL	http://books.google.com.hk/books?id=HW7PzgEACAAJ&hl=&source=gbs_api

註釋

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.