Nonlinear analysis of return time series model by oriented percolation dynamic system

DOI10.1155/2013/612738MaRDI QIDQ2318889zbMATH OpenOpenAlexWikidataFDO

Authors Anqi Pei, Jun Wang

Publication date 16 August 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/612738

zbMATH Keywords

financial price changesoriented percolation dynamicreturn time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Review text

Summary: Fluctuation dynamics of financial price changes is developed and investigated by oriented percolation system; oriented percolation is percolation with a special direction along which the activity can only propagate one way but not the other. Then, nonlinear behaviors of distribution and leverage effect of return time series are studied for the proposed model and the real stock market by comparison. We also investigate the scaling behaviors of return intervals. And a scaling function of exponential parameter is introduced to analyze fluctuation behaviors of return intervals. The empirical research exhibits that, for proper parameters, the simulation data of the model can fit the real markets to a certain extent.

Recommendations

• Lattice-oriented percolation system applied to volatility behavior of stock market
• Nonlinear fluctuation behavior of financial time series model by statistical physics system
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
• ASYMMETRIES, CORRELATIONS AND FAT TAILS IN PERCOLATION MARKET MODEL
• Nonlinear scaling analysis approach of agent-based Potts financial dynamical model

Cites work

• Analysis of two-layered random interfaces for two dimensional Widom-Rowlinson's model
• Finite-range contact process on the market return intervals distributions
• Fluctuations of stock price model by statistical physics systems
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• scientific article; zbMATH DE number 193169 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1350307 (Why is no real title available?)
• scientific article; zbMATH DE number 1373207 (Why is no real title available?)
• scientific article; zbMATH DE number 757710 (Why is no real title available?)
• Lattice-oriented percolation system applied to volatility behavior of stock market
• Long-range power-law correlations in stock returns
• Oriented percolation in two dimensions
• Percolation
• Statistical analysis by statistical physics model for the stock markets

Cited in

(6)

• Nonlinear fluctuation behavior of financial time series model by statistical physics system
• Nonlinear behaviors of tail dependence and cross-correlation of financial time series model
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
• Lattice-oriented percolation system applied to volatility behavior of stock market
• Herd behavior and financial crashes: an interacting particle system approach
• Quantifying complexity of financial short-term time series by composite multiscale entropy measure

This page was built for publication: Nonlinear analysis of return time series model by oriented percolation dynamic system

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2318889)