Nonlinear fluctuation behavior of financial time series model by statistical physics system
type: Item
instance of: scholarly article
title: Nonlinear fluctuation behavior of financial time series model by statistical physics system
zbMATH Open document ID: 1406.91497
DOI: 10.1155/2014/806271
author: Wuyang Cheng
author: Jun Wang
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: We develop a random financial time series model of stock market by one of statistical physics systems, the stochastic contact interacting system. Contact process is a continuous time Markov process; one interpretation of this model is as a model for the spread of an infection, where the epidemic spreading mimics the interplay of local infections and recovery of individuals. From this financial model, we study the statistical behaviors of return time series, and the corresponding behaviors of returns for Shanghai Stock Exchange Composite Index (SSECI) and Hang Seng Index (HSI) are also comparatively studied. Further, we investigate the Zipf distribution and multifractal phenomenon of returns and price changes. Zipf analysis and MF-DFA analysis are applied to investigate the natures of fluctuations for the stock market.
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7023111
zbMATH Keywords: financial time series
zbMATH Keywords: nonlinear fluctuation
zbMATH Keywords: statistical physics
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/806271
OpenAlex ID: W2040796769
Wikidata QID: Q59041657
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description: scientific article; zbMATH DE number 7023111