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

DOI10.1155/2013/612738zbMath1420.91552OpenAlexW2014832513WikidataQ58917305 ScholiaQ58917305MaRDI QIDQ2318889

Jun Wang, Anqi Pei

Publication date: 16 August 2019

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

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)

Related Items (4)

Quantifying complexity of financial short-term time series by composite multiscale entropy measure ⋮ 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 ⋮ Herd behavior and financial crashes: an interacting particle system approach

Cites Work

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• Analysis of two-layered random interfaces for two dimensional Widom-Rowlinson's model
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• Oriented percolation in two dimensions
• FINITE-RANGE CONTACT PROCESS ON THE MARKET RETURN INTERVALS DISTRIBUTIONS
• Percolation
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Lattice-oriented percolation system applied to volatility behavior of stock market
• STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS
• Long-range power-law correlations in stock returns

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