Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump

DOI10.1016/J.PHYSA.2019.04.019MaRDI QIDQ2159662zbMATH OpenOpenAlexFDO

Authors Bo Zhang, Guochao Wang, Yiduan Wang, Wei Zhang, Jun Wang

Publication date 2 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.04.019

zbMATH Keywords

continuum percolationfinancial time series modelmultiscale complex entropymultiscale statistical and complex analysisstatistical physicsstochastic Ising system

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Recommendations

• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• Fluctuations of stock price model by statistical physics systems
• Graph based and multifractal analysis of financial time series model by continuum percolation
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
• Nonlinear scaling analysis approach of agent-based Potts financial dynamical model

Cites work

• Analysis of Financial Time Series
• Continuum Percolation
• Empirical properties of asset returns: stylized facts and statistical issues
• scientific article; zbMATH DE number 5345387 (Why is no real title available?)
• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• scientific article; zbMATH DE number 53531 (Why is no real title available?)
• scientific article; zbMATH DE number 1350307 (Why is no real title available?)
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 195103 (Why is no real title available?)
• scientific article; zbMATH DE number 1373207 (Why is no real title available?)
• scientific article; zbMATH DE number 3892344 (Why is no real title available?)
• Lattice-oriented percolation system applied to volatility behavior of stock market
• Linking agent-based models and stochastic models of financial markets
• Long-range power-law correlations in stock returns
• Long-Term Memory in Stock Market Prices
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
• Modeling Financial Time Series with S-PLUS®
• Multiscale entropy analysis of human gait dynamics
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• The pricing of options and corporate liabilities
• The Russo-Seymour-Welsh theorem and the equality of critical densities and the ``dual critical densities for continuum percolation on \({\mathbb{R}}^ 2\)
• The Volatility of Realized Volatility
• Theory of Financial Risk and Derivative Pricing
• Time-dependent complexity measurement of causality in international equity markets: a spatial approach

Cited in

(3)

• Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation
• A Generalized 2D-Dynamical Mean-Field Ising Model with a Rich Set of Bifurcations (Inspired and Applied to Financial Crises)
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS

Describes a project that uses

Uses Software

• FinTS
• StFinMetrics

This page was built for publication: Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2159662)