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

DOI10.1142/S0129183112500234zbMath1263.82023OpenAlexW2009885972MaRDI QIDQ4911481

Jun Wang, Wen Fang

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

zbMATH Keywords

time serieslong memorystochastic Ising modelmean field theorymultifractal detrended fluctuation analysis

Mathematics Subject Classification ID

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

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Cites Work

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• Multifractal detrended fluctuation analysis of nonstationary time series
• Multiscale behaviour of volatility autocorrelations in a financial market
• Long-Term Memory in Stock Market Prices
• SUPERCRITICAL ISING MODEL ON THE LATTICE FRACTAL — THE SIERPINSKI CARPET
• Price fluctuations and market activity

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