Multifractal Model of Asset Returns versus real stock market dynamics
P. Oswiecimka, J. Kwapien, S. Drozdz, A. Z. Gorski, R. Rak
Abstract
There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Returns (MMAR) introduced by Mandelbrot in which multifractality is carried by time deformation. In our study we focus on the Lux extension to MMAR and empirical data from Warsaw Stock Exchange. We show that this model is able to reproduce relevant aspects of the real stock market dynamics.
Create a lesson
Related papers
Distinct routes to phase transitions in spatial activation systems
Jialu Zhang, Guanyu Zhang, Leyang Xue et al.
District-Level Food Environment Indicators and Social Vulnerability in São Paulo
Pedro Lemes Sixel Lobo, Eric Tokuda, Kuruvilla Joseph Abraham et al.
Prompt Sensitivity of Generative Agents: Evidence from an Epidemic Model
Ross Williams, Niyousha Hosseinichimeh
Giant strongly biconnected components of directed networks: a generating function approach
Minsoo Yang, Reinhard Laubenbacher, Byungjoon Min
(k,n)-core percolation on hypergraphs with anchor nodes
Hoseung Jang, Byungjoon Min, Ginestra Bianconi
The complex relationship between anti-immigrant sentiment and exposure in the Netherlands
Benedikt Meylahn, Tommaso Giommoni, Mike Lees et al.