Presentation 2003/1/22
Market Simulation in which Multifractality appears
Kazuko YAMASAKI, Kenneth J. MACKIN,
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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.
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Keyword(in English) speculative market / market simulation / multifractal / macro model / micro model
Paper # AI2002-24
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Conference Information
Committee AI
Conference Date 2003/1/22(1days)
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Registration To Artificial Intelligence and Knowledge-Based Processing (AI)
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