2007/09/07 by Antônio Fernando Crepaldi, Antonio F. Crepaldi, Camilo Rodrigues Neto +6
Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Complex Systems and Time Series Analysis #Theoretical and Computational Physics #physics.soc-ph #q-fin.TR
paper · pdf · doi:10.48550/arxiv.0709.0976
14 pages, 6 figures
arxiv created 2007/12/06 · arxiv updated 2009/12/01
The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the Structure Function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (nonlinear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the Wavelet Transform Modulus Maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes.