Scaling and Multi-Scaling in Financial Markets
6 Pages Posted: 21 Aug 2000
Date Written: July 23, 2000
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.
Keywords: Scaling, multiscaling, volatility clustering
JEL Classification: G12, C63
Suggested Citation: Suggested Citation