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A Multifractal Detrended Fluctuation Analysis of the Ising Financial Markets Model with Small World Topology

张昂辉  李晓温  苏桂锋  张一  
【摘要】:We present a multifractal detrended fluctuation analysis(MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology.The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series.We compare the MFDFA results for original time series with those for shuffled series,and find that its multifractal nature is due to two factors:broadness of probability density function of the series and different correlations in small- and large-scale fluctuations.This may provide new insight to the problem of the origin of multifractality in financial time series.

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