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paper

Market Simulation Displaying Multifractality

arXiv:cond-mat/0304331

Abstract

We proposed a market simulation model (micro model) which displays multifractality and reproduces many important stylized facts of speculative markets. From this model we analytically extracted the MMAR model (Multifractal Model of Asset Returns) for the macroscopic limit.

6 pages,8 figures,The Nikkei Symposium on Application of Econophysics