Graph based and multifractal analysis of financial time series model by continuum percolation

DOI10.1515/IJNSNS-2013-0047MaRDI QIDQ1786331zbMATH OpenOpenAlexFDO

Authors Di Xiao, Jun Wang

Publication date 24 September 2018

Published in International Journal of Nonlinear Sciences and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/ijnsns-2013-0047

zbMATH Keywords

financial time seriesnonlinear analysiscontinuum percolationvisibility graphhorizontal visibility graphmultifractal centered moving average

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Small world graphs, complex networks (graph-theoretic aspects) (05C82) Heterogeneous agent models (91B69) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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(2)

• Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system

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