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http://acervodigital.unesp.br/handle/11449/24164
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DC Field | Value | Language |
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dc.contributor.author | Crepaldi, Antonio F. | - |
dc.contributor.author | Rodrigues Neto, Camilo | - |
dc.contributor.author | Ferreira, Fernando F. | - |
dc.contributor.author | Francisco, Gerson | - |
dc.date.accessioned | 2013-09-30T18:53:30Z | - |
dc.date.accessioned | 2014-05-20T14:09:26Z | - |
dc.date.accessioned | 2016-10-25T17:18:28Z | - |
dc.date.available | 2013-09-30T18:53:30Z | - |
dc.date.available | 2014-05-20T14:09:26Z | - |
dc.date.available | 2016-10-25T17:18:28Z | - |
dc.date.issued | 2009-11-15 | - |
dc.identifier | http://dx.doi.org/10.1016/j.chaos.2009.03.044 | - |
dc.identifier.citation | Chaos Solitons & Fractals. Oxford: Pergamon-Elsevier B.V. Ltd, v. 42, n. 3, p. 1364-1371, 2009. | - |
dc.identifier.issn | 0960-0779 | - |
dc.identifier.uri | http://hdl.handle.net/11449/24164 | - |
dc.identifier.uri | http://acervodigital.unesp.br/handle/11449/24164 | - |
dc.description.abstract | The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual minority game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the structure function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (non-linear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the wavelet transform modulus maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes. (C) 2009 Elsevier Ltd. All rights reserved. | en |
dc.description.sponsorship | Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) | - |
dc.format.extent | 1364-1371 | - |
dc.language.iso | eng | - |
dc.publisher | Pergamon-Elsevier B.V. Ltd | - |
dc.source | Web of Science | - |
dc.title | Multifractal regime transition in a modified minority game model | en |
dc.type | outro | - |
dc.contributor.institution | Universidade de São Paulo (USP) | - |
dc.contributor.institution | Universidade Estadual Paulista (UNESP) | - |
dc.description.affiliation | Univ São Paulo, EACH, Grp Interdisciplinar Fis Informação & Econ GRIFE, BR-03828000 São Paulo, Brazil | - |
dc.description.affiliation | Univ Estadual Paulista, Dept Prod Engn, BR-01405900 Bauru, SP, Brazil | - |
dc.description.affiliation | Univ Estadual Paulista, Inst Fis Teor, BR-01405900 São Paulo, Brazil | - |
dc.description.affiliationUnesp | Univ Estadual Paulista, Dept Prod Engn, BR-01405900 Bauru, SP, Brazil | - |
dc.description.affiliationUnesp | Univ Estadual Paulista, Inst Fis Teor, BR-01405900 São Paulo, Brazil | - |
dc.identifier.doi | 10.1016/j.chaos.2009.03.044 | - |
dc.identifier.wos | WOS:000268987400008 | - |
dc.rights.accessRights | Acesso restrito | - |
dc.relation.ispartof | Chaos Solitons & Fractals | - |
Appears in Collections: | Artigos, TCCs, Teses e Dissertações da Unesp |
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