sid hossin nasle mosavi - Seyed Hossein Naslemousavi, Assistant Professor, Department Of Accounting, Qaemshahr Branch, Islamic Azad University, Qaemshahr, Iran
farzin aksoun - Mohammad Salehifard, Ph.D Student, Department Of Accounting, Qaemshahr Branch, Islamic Azad University, Qaemshahr, Iran
Abbas Ali Poor Aghajansarhamami - Department of Accounting, Qaemshahr Branch, Islamic Azad University, Qaemshahr, Iran

Abstract Cluster fluctuations and fractal structures are the two important features of space-time correlation in complex financial systems. However, the microscopic mechanism of creating and expanding these two features in financial markets remains challenging. In the present study, using factor-based model design and considering a new interactive mechanism called multilevel convergence, the process of forming cluster fluctuations according to the fractal structure of financial markets is investigated. Virtual agents' trade in different groups according to market performance and their mass behavior is measured at three levels of stock, segment and market. The results, in addition to providing new insights into the space-time correlations of financial markets, show that multilevel convergence is one of the microscopic mechanisms of microstructure of such markets. In other words, multilevel collective behavior is an important factor in the occurrence of cluster fluctuations, price bubbles and market fractals and therefore should be considered in interpreting the concept of risk and defining risk management strategies from this perspective.

Keywords: factor modeling, multilevel bulk density, cluster fluctuations, market fractal structure