Multi-scaling in the Cont-Bouchaud microscopic stock market model

Authors
Castiglione, F Stauffer, D
Citation
F. Castiglione et D. Stauffer, Multi-scaling in the Cont-Bouchaud microscopic stock market model, PHYSICA A, 300(3-4), 2001, pp. 531-538
Citations number
22
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
300
Issue
3-4
Year of publication
2001
Pages
531 - 538
Database
ISI
SICI code
0378-4371(20011115)300:3-4<531:MITCMS>2.0.ZU;2-K
Abstract
The Cont-Bouchaud percolation model is one of the simplest microsimulation models yet able to account for the main stylized fact of financial markets, e.g. fat tails of the histogram of log-returns. In the present paper we sh ow that for a certain range of the parameters it is possible to generate pr ice time-series that cannot be described in terms of a unique scaling expon ent. (C) 2001 Elsevier Science B.V. All rights reserved.