STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS

DOI10.1142/S0129183112500234zbMATH Open1263.82023OpenAlexW2009885972MaRDI QIDQ4911481FDOQ4911481

Authors: Wen Fang, Jun Wang 

Publication date: 15 March 2013

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0129183112500234

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zbMATH Keywords

time serieslong memorymean field theorystochastic Ising modelmultifractal detrended fluctuation analysis

Mathematics Subject Classification ID

Statistical thermodynamics (82B30) Microeconomic theory (price theory and economic markets) (91B24) Heterogeneous agent models (91B69)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Title not available (Why is that?)
• Long-Term Memory in Stock Market Prices
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multiscale behaviour of volatility autocorrelations in a financial market
• Price fluctuations and market activity
• SUPERCRITICAL ISING MODEL ON THE LATTICE FRACTAL — THE SIERPINSKI CARPET

Cited In (21)

• Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
• Nonlinear behaviors of tail dependence and cross-correlation of financial time series model
• Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics
• An Ising spin state explanation for financial asset allocation
• Linking market interaction intensity of 3D Ising type financial model with market volatility
• Multivariate multiscale entropy of financial markets
• Ising model of financial markets with many assets
• Nonlinear fluctuation behavior of financial time series model by statistical physics system
• Nonlinear scaling analysis approach of agent-based Potts financial dynamical model
• Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
• Phase and multifractality analyses of random price time series by finite-range interacting biased voter system
• Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system
• Herding, minority game, market clearing and efficient markets in a simple spin model framework
• Detecting fractal/multifractal and asymmetric properties in an artificial quote-driven financial market
• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Effect of boundary conditions on stochastic Ising-like financial market price model
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
• A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy
• Self-organizing Ising model of financial markets

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