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

<div>Simulation data <svg height="12.3916pt" id="M158" style="vertical-align:-3.42948pt" version="1.1" viewbox="-0.0498162 -8.96212 12.2933 12.3916" width="12.2933pt" 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="M542 242C542 369 469 429 379 468C370 472 372 496 376 513L416 681L400 691L344 648L219 51C167 69 113 128 113 217C113 324 166 387 266 428L252 459C124 418 23 336 23 202C23 95 90 13 205 -8L182 -132C165 -222 191 -254 209 -261L215 -258L270 -7C415 -4 542 98 542 242ZM469 232C469 126 403 33 279 39L355 409C399 394 469 331 469 232Z" id="g113-243"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="565" vert-adv-y="565"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,7.02,3.132)"><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>, <svg height="10.3089pt" id="M159" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -10.1025 14.7083 10.3089" width="14.7083pt" 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="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z" id="g113-102"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="414" vert-adv-y="414"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M558 454L532 470C512 451 497 442 465 442C421 442 376 450 318 450C146 450 24 313 24 164C24 46 91 -12 183 -12C317 -12 439 105 439 247C439 306 428 346 382 385L383 389C414 384 450 379 485 379C517 379 539 412 558 454ZM357 273C357 191 313 28 205 28C149 28 111 79 111 160C111 266 175 396 280 396C298 396 328 386 341 357C353 331 357 315 357 273Z" id="g50-240"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="576" vert-adv-y="576"></glyph.data></g><g transform="matrix(.0065,0,0,-0.0065,10.214,-3.641)"><path d="M490 420C490 437 473 454 444 454C390 454 313 392 258 339L163 247H161L261 676C266 696 264 708 257 708C244 708 183 678 96 672L87 638L131 637C164 636 169 635 161 599L25 -4L33 -12C50 -3 84 5 114 10C127 83 135 123 149 182C155 197 180 221 206 243C235 170 266 105 293 53C320 2 335 -12 363 -12C385 -12 427 -2 489 83L466 109C440 83 414 59 402 59C391 59 382 70 359 113C333 159 293 247 272 296C301 333 360 376 407 376C428 376 444 375 451 369C457 365 470 365 474 372C482 387 490 408 490 420Z" id="g176-108"></path><glyph.data ascent="3439" descent="-2858" horiz-adv-x="515" vert-adv-y="515"></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 2

Figure 2: Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect 