{
  "annotation_id": "eb078a0c-0fc9-4a02-8c02-3cf4275ea10f",
  "date_created": "2026-03-02T18:01:07.409000Z",
  "date_modified": "2026-03-02T18:01:07.409000Z",
  "file_hash": "7db1b6abf06ebd71c5c9fb896eddcd4f999d9f7a0bdd375398da34782db2f0ab",
  "private": false,
  "record": {
    "abstract": "There is more and more empirical evidence that multifractality constitutes\nanother and perhaps the most significant financial stylized fact. A realistic\nmodel of the financial dynamics should therefore incorporate this effect. The\nmost promising in this respect is the Multifractal Model of Asset Returns\n(MMAR) introduced by Mandelbrot in which multifractality is carried by time\ndeformation. In our study we focus on the Lux extension to MMAR and empirical\ndata from Warsaw Stock Exchange. We show that this model is able to reproduce\nrelevant aspects of the real stock market dynamics.",
    "arxiv_id": "physics/0605147",
    "authors": [
      "P. Oswiecimka",
      "J. Kwapien",
      "S. Drozdz",
      "A. Z. Gorski",
      "R. Rak"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "journal_ref": "Acta Phys. Pol. B 37, No 11, (2006), p3083.",
    "title": "Multifractal Model of Asset Returns versus real stock market dynamics",
    "url": "https://arxiv.org/abs/physics/0605147"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "e4df0961-065d-4911-b99c-92b2730d8e70",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}