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Book Chapter

Market Simulation Displaying Multifractality

  • Yamasaki K
  • Mackin K
Springer Japan, (2004), 223-228
DOI: 10.1007/978-4-431-53947-6_31
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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.

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Yamasaki, K., & Mackin, K. J. (2004). Market Simulation Displaying Multifractality. In The Application of Econophysics (pp. 223–228). Springer Japan. https://doi.org/10.1007/978-4-431-53947-6_31

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