Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system

DOI10.1063/1.4930314MaRDI QIDQ4591760zbMATH OpenOpenAlexWikidataFDO

Authors Yunfan Lu, Jun Wang, Hongli Niu

Publication date 17 November 2017

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.4930314

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(12)

• Nonlinear fluctuation behavior of financial time series model by statistical physics system
• Graph based and multifractal analysis of financial time series model by continuum percolation
• Multivariate multiscale entropy of financial markets
• Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
• Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
• Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
• Fractional virus epidemic model on financial networks
• Nonlinear complexity and chaotic behaviors on finite-range stochastic epidemic financial dynamics
• A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation
• Analysis of the dispersion Havrda-Charvat entropy plane in financial time series
• Explaining stock return distributions via an agent-based model

Describes a project that uses

Uses Software

• StFinMetrics

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