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Market simulation with hierarchical information flux

Christian Schulze
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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.

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Christian Schulze. 2002-05-04. Market simulation with hierarchical information flux. https://doi.org/10.1142/s0129183102003838

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