Multi-scaling in the Cont–Bouchaud microscopic stock market model

The Cont–Bouchaud percolation model is one of the simplest microsimulation models yet able to account for the main stylized fact of financial markets, e.g. fat tails of the histogram of log-returns. In the present paper we show that for a certain range of the parameters it is possible to generate price time-series that cannot be described in terms of a unique scaling exponent.