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Abstract: The search for more realistic modeling of financial time series revealsseveral stylized facts of real markets. In this work we focus on themultifractal properties found in price and index signals. Although the usualMinority Game MG models do not exhibit multifractality, we study here one ofits variants that does. We show that the nonsynchronous MG models in thenonergodic phase is multifractal and in this sense, together with otherstylized facts, constitute a better modeling tool. Using the Structure FunctionSF approach we detected the stationary and the scaling range of the timeseries generated by the MG model and, from the linear nonlinear behavior ofthe SF we identified the fractal multifractal regimes. Finally, using theWavelet Transform Modulus Maxima WTMM technique we obtained its multifractalspectrum width for different dynamical regimes.



Author: Antonio F. Crepaldi, Camilo Rodrigues Neto, Fernando F. Ferreira, Gerson Francisco

Source: https://arxiv.org/







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