| Presentation | 2003/1/22 Market Simulation in which Multifractality appears Kazuko YAMASAKI, Kenneth J. MACKIN, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The MMAR model (multifractal model of asset returns) [2], [3], [5] shows multifractality and reproduces a lot of important stylized facts. In this paper, we studied a micro model (market simulation model) that can extract the MMAR model. We calculated multifractal spectrum, cumulative distribution of return and autocorrelation function of both micro and macro model, and compared them. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | speculative market / market simulation / multifractal / macro model / micro model |
| Paper # | AI2002-24 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2003/1/22(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Market Simulation in which Multifractality appears |
| Sub Title (in English) | |
| Keyword(1) | speculative market |
| Keyword(2) | market simulation |
| Keyword(3) | multifractal |
| Keyword(4) | macro model |
| Keyword(5) | micro model |
| 1st Author's Name | Kazuko YAMASAKI |
| 1st Author's Affiliation | Tokyo University of Information Sciences() |
| 2nd Author's Name | Kenneth J. MACKIN |
| 2nd Author's Affiliation | Tokyo University of Information Sciences |
| Date | 2003/1/22 |
| Paper # | AI2002-24 |
| Volume (vol) | vol.102 |
| Number (no) | 613 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |