Market simulation with hierarchical information flux
arXiv:cond-mat/0205083 · doi:10.1142/S0129183102003838
Abstract
We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution, and effective multifractality for intermediate times.
3 pages including 2 figures; for Int. J. Mod. Phys. C 13, No. 8