The origin of volatility cascade of the financial market

被引：0
|
作者：
Yang, Chunxia [1 ]
Zhang, Yingchao [1 ]
Wu, Hongfa [1 ]
Zhou, Peiling [2 ]
机构：
[1] Nanjing Univ Informat Sci & Technol, Sch Informat & Control Engn, Nanjing 210044, Peoples R China
[2] Univ Sci & Technol China, Dept Elect Sci & Technol, Hefei 230025, Peoples R China
来源：
COMPUTATIONAL SCIENCE - ICCS 2007, PT 4, PROCEEDINGS | 2007年 / 4490卷
基金：
美国国家科学基金会;
关键词：
self-organization; multifractal; cascade; financial market model; volatility;
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
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.
引用
收藏
页码：114 / +
页数：2
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