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2014 Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System
Wuyang Cheng, Jun Wang
Abstr. Appl. Anal. 2014(SI70): 1-11 (2014). DOI: 10.1155/2014/806271

Abstract

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.

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Wuyang Cheng. Jun Wang. "Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System." Abstr. Appl. Anal. 2014 (SI70) 1 - 11, 2014. https://doi.org/10.1155/2014/806271

Information

Published: 2014
First available in Project Euclid: 3 October 2014

zbMATH: 07023111
MathSciNet: MR3212449
Digital Object Identifier: 10.1155/2014/806271

Rights: Copyright © 2014 Hindawi

Vol.2014 • No. SI70 • 2014
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