Eur. Phys. J. B (2015) 88: 61
https://doi.org/10.1140/epjb/e2015-50564-1

Regular Article

A multifractality analysis of Ising financial markets with small world topology

Department of Physics, Shanghai Normal University, Shanghai 200234, P.R. China

^a e-mail: yizhang@shnu.edu.cn

Received: 20 August 2014
Received in final form: 26 December 2014
Published online: 16 March 2015

Abstract

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.