The Origin of Volatility Cascade of the Financial Market

  • Authors:

  • Chunxia Yang;Yingchao Zhang;Hongfa Wu;Peiling Zhou

  • Affiliations:

  • School of Information and Control Engineering, Nanjing University of Information Science and Technology, Nanjing Jiangsu, 210044, P.R. China;School of Information and Control Engineering, Nanjing University of Information Science and Technology, Nanjing Jiangsu, 210044, P.R. China;School of Information and Control Engineering, Nanjing University of Information Science and Technology, Nanjing Jiangsu, 210044, P.R. China;Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, P.R. China

  • Venue:
  • ICCS '07 Proceedings of the 7th international conference on Computational Science, Part IV: ICCS 2007
  • Year:
  • 2007

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Abstract

Based on the self-organized dynamical evolutionary of the investors structure, a refined dissipation market model is constructed. Unlike multifractal cascade-like ideas, this model provides a realistic (agent based) description of financial markets and reproduces the same multifractal scaling properties of price changes as the real, which indicate that the self-organized dynamical evolutionary of the investors structure may be the origin of the volatility statistical structure.