Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System

Fluctuation dynamics of financial price changes is developed and investigated by oriented percolation system; oriented percolation is percolation with a special direction along which the activity can only propagate one way but not the other. Then, nonlinear behaviors of distribution and leverage eff...

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Bibliographic Details
Main Authors: Anqi Pei, Jun Wang
Format: Article
Language:English
Published: Wiley 2013-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2013/612738
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