Discrete Dynamics in Nature and Society
Volume 2005 (2005), Issue 2, Pages 111-117
doi:10.1155/DDNS.2005.111

Multiscale behavior of a simple model for stock markets

Abstract

The multiscale behavior of a recently reported model for stock markets is presented. It has been shown that indexes of real-world markets display absolute returns with memory properties on a long-time range, a phenomenon known as cluster volatility. The multiscale characteristics of an index are studied by analyzing the power-law scaling of the volatility correlations which display nonunique scaling exponents. Here such analysis is done on an artificial time series produced by a simple model for stock markets. After comparison, excellent agreements with the multiscale behavior of real-time series are found.