Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

<div>Simulation price data <svg height="11.927pt" id="M157" style="vertical-align:-3.291101pt" version="1.1" viewbox="-0.0498162 -8.6359 11.928 11.927" width="11.928pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M600 480C600 590 528 650 384 650H143L137 622C222 614 225 607 210 531L130 127C113 41 106 36 23 28L17 0H294L300 28C204 36 195 42 212 127L243 284L314 263C327 263 339 263 352 264C465 271 600 337 600 480ZM508 481C508 351 402 304 329 304C289 304 265 311 250 317L295 559C302 594 310 606 323 611C335 616 350 619 367 619C455 619 508 573 508 481Z" id="g113-81"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="617" vert-adv-y="617"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,6.656,3.132)"><path d="M485 418C485 434 469 451 441 451C389 451 312 387 255 335C221 304 194 278 159 242H157L259 678C264 698 264 710 255 710C242 710 183 681 96 673L90 643L128 642C165 641 171 640 162 602L24 -5L31 -12C51 -4 81 4 110 9L145 181C154 195 180 220 205 242C233 170 263 106 291 53C318 1 335 -12 360 -12C383 -12 425 0 483 82L463 105C437 79 411 57 400 57C388 57 378 68 355 110C329 156 288 244 268 298C299 333 355 376 405 376C426 376 440 373 448 368C453 365 465 368 468 373C477 386 485 405 485 418Z" id="g50-108"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="509" vert-adv-y="509"></glyph.data></g></svg> made from model (<a href="https://static.hindawi.com/articles/ddns/volume-2016/1580941/figures/#EEq13">13</a>).</div>

Discrete Dynamics in Nature and Society

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Figure 1

Figure 1: Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect 