In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to...

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the...