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

DOI10.1515/IJNSNS-2013-0047zbMATH Open1401.91568OpenAlexW2084188542MaRDI QIDQ1786331FDOQ1786331

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

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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)

Cited In (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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