Phase and multifractality analyses of random price time series by finite-range interacting biased voter system

DOI10.1007/s00180-014-0479-0zbMath1306.65117OpenAlexW2059670878MaRDI QIDQ2259773

Jun Wang, Hongli Niu

Publication date: 5 March 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-014-0479-0

zbMATH Keywords

statistical analysismultifractalityphase analysisempirical mode decompositionfinancial price processinteracting biased voter model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• The Pricing of Options and Corporate Liabilities
• Estimation of an agent-based model of investor sentiment formation in financial markets
• Voter interacting systems applied to Chinese stock markets
• Fluctuations of stock price model by statistical physics systems
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• Percolation
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• Lattice-oriented percolation system applied to volatility behavior of stock market
• Introduction to Econophysics
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