Discrete Dynamics in Nature and Society
Volume 2005 (2005), Issue 2, Pages 111-117
Multiscale behavior of a simple model for stock markets
Facultad de Ingeniería, Universidad Nacional de Mar del Plata, J.B. Justo 4302, Mar del Plata 7600, Argentina
Received 15 December 2004
Copyright © 2005 Juan R. Sánchez. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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