Voter interacting systems applied to Chinese stock markets

DOI10.1016/J.MATCOM.2011.03.013zbMATH Open1218.91176OpenAlexW2018935725MaRDI QIDQ554607FDOQ554607

Tiansong Wang, Jun Wang, Wen Fang, Junhuan Zhang

Publication date: 4 August 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2011.03.013

zbMATH Keywords

probability distributionreturncomputer simulationvoter modelstock price model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic particle methods (65C35)

Cites Work

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• The pricing of options and corporate liabilities
• Long-Term Memory in Stock Market Prices
• Percolation
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
• Universal contingent claims in a general market environment and multiplicative measures: examples and applications
• Tests of long memory: a bootstrap approach
• Jump diffusion model with application to the Japanese stock market

Cited In (9)

• Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation
• Nonlinear behaviors of tail dependence and cross-correlation of financial time series model
• Nonlinear scaling analysis approach of agent-based Potts financial dynamical model
• 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
• Volatility degree forecasting of stock market by stochastic time strength neural network
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

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