Name
Abstract | ||
|---|---|---|
Based on the self-organized dynamical evolutionary of the investors structure, a refined dissipation market model is constructed. Unlike multifractal cascade-like ideas, this model provides a realistic (agent based) description of financial markets and reproduces the same multifractal scaling properties of price changes as the real, which indicate that the self-organized dynamical evolutionary of the investors structure may be the origin of the volatility statistical structure. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1007/978-3-540-72590-9_15 | International Conference on Computational Science (4) |
Keywords | Field | DocType |
financial market,multifractal cascade-like idea,refined dissipation market model,investors structure,volatility cascade,volatility statistical structure,price change,self organization | Econometrics,Implied volatility,Mathematical optimization,Market microstructure,Computer science,Self-organization,Cascade,Financial market,Volatility (finance),Scaling,Multifractal system | Conference |
Volume | ISSN | Citations |
4490 | 0302-9743 | 0 |
PageRank | References | Authors |
0.34 | 1 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Chunxia Yang | 1 | 9 | 1.22 |
| Ying-Chao Zhang | 2 | 56 | 8.73 |
| Hongfa Wu | 3 | 6 | 1.33 |
| Peiling Zhou | 4 | 0 | 0.68 |