Nonlinear fluctuation behavior of financial time series model by statistical physics system

DOI10.1155/2014/806271zbMath1406.91497OpenAlexW2040796769WikidataQ59041657 ScholiaQ59041657MaRDI QIDQ1725026

Jun Wang, Wuyang Cheng

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/806271

zbMATH Keywords

statistical physicsfinancial time seriesnonlinear fluctuation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Related Items (2)

Variable length Markov chain with exogenous covariates ⋮ Nonlinear behaviors of tail dependence and cross-correlation of financial time series model

Uses Software

• Matlab

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• The Pricing of Options and Corporate Liabilities
• Fluctuations of interface statistical physics models applied to a stock market model
• Fluctuations of stock price model by statistical physics systems
• Contact interactions on a lattice
• Nonlinear analysis of return time series model by oriented percolation dynamic system
• Can percolation theory be applied to the stock market?
• Percolation
• A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• Lattice-oriented percolation system applied to volatility behavior of stock market
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