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Scaling and Multi-scaling in Financial Markets

6 Pages Posted: 21 Aug 2000  

Giulia Iori

City University London - Department of Economics

Date Written: July 23, 2000

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.

Keywords: Scaling, multiscaling, volatility clustering

JEL Classification: G12, C63

Suggested Citation

Iori, Giulia, Scaling and Multi-scaling in Financial Markets (July 23, 2000). Available at SSRN: https://ssrn.com/abstract=237254 or http://dx.doi.org/10.2139/ssrn.237254

Giulia Iori (Contact Author)

City University London - Department of Economics ( email )

Northampton Square
London, EC1V 0HB
United Kingdom

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