Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation

DOI10.1016/j.physa.2017.04.033zbMath1495.91134OpenAlexW2605549949MaRDI QIDQ2147632

Jun Wang, Wei Zhang

Publication date: 20 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.04.033

zbMATH Keywords

autocorrelationstochastic exclusion processfinancial price dynamics modelnonlinear fluctuation behaviortime-dependent intrinsic detrended cross-correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic dynamics (91B55)

Related Items (3)

Modeling and complexity of stochastic interacting Lévy type financial price dynamics ⋮ Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics ⋮ Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation

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