The Origin of Volatility Cascade of the Financial Market

摘要

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 multi-fractal 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.