A multifractality analysis of Ising financial markets with small world topology
Department of Physics, Shanghai Normal
Received in final form: 26 December 2014
Published online: 16 March 2015
Following our preceding study [H. Zhao et al., Europhys. Lett. 101, 18001 (2013)], in which a self-organizing Ising-like model of artificial financial markets with underlying small world (SW) network topology was investigated, we continue to proceed a multifractal analysis of the price dynamics of the model in current paper. We find that the price return exhibits multifractal property. This suggests that our Ising-like model reproduces the major stylized facts of real world financial markets.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2015