Fat tails, long-range correlations and multifractality as emergent properties in nonstationary time series
Authored by F. S. Passos, C. M. Nascimento, Iram Gleria, Sergio da Silva, G. M. Viswanathan
Date Published: 2011-03
DOI: 10.1209/0295-5075/93/58006
Sponsors:
Programa Nacional de Cooperação Acadêmica
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Abstract
An important open problem concerns the physical origin of long-range correlations, multifractality and fat-tailed distributions observed in heteroscedastic time series associated with complex systems. Financial stylized facts provides one useful example usually not explained by traditional economic models. We investigate the behavior of an agent-based model consisting of N agents which interact with each other via fixed rules. We show that fat-tailed distributions, long-range correlations, heteroscedasticity and multifractality arise as N becomes large. Our findings suggest that such stylized facts can in principle arise as emergent properties. Copyright (C) EPLA, 2011
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