Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System

DOI10.1142/S0218127416300044zbMath1334.91059OpenAlexW2293946879MaRDI QIDQ2800706

Hongli Niu, Jun Wang

Publication date: 18 April 2016

Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218127416300044

zbMATH Keywords

nonlinear analysiscross-correlationmultifractalfinancial price modelMF-DCCAcontinuum percolation system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Time series analysis of dynamical systems (37M10)

Related Items (2)

Complex Similarity and Fluctuation Dynamics of Financial Markets on Voter Interacting Dynamic System ⋮ Nonlinear Complexity and Chaotic Behaviors on Finite-Range Stochastic Epidemic Financial Dynamics

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