| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383022 | Physica A: Statistical Mechanics and its Applications | 2011 | 16 Pages |
Abstract
⺠Self-organized critical lattice model simulates prominent financial market features. ⺠Model yields fat tails of the gains distribution from its intrinsic dynamics. ⺠Gains time series exhibits volatility clustering. ⺠GARCH fits find model time series almost indistinguishable from real market data.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
B. Dupoyet, H.R. Fiebig, D.P. Musgrove,