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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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/612738 |
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| _version_ | 1832564950813376512 |
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| author | Anqi Pei Jun Wang |
| author_facet | Anqi Pei Jun Wang |
| author_sort | Anqi Pei |
| collection | DOAJ |
| description | 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 effect of return time series are studied for the proposed model and the real stock market by comparison. We also investigate the scaling behaviors of return intervals. And a scaling function of exponential parameter is introduced to analyze fluctuation behaviors of return intervals. The empirical research exhibits that, for proper parameters, the simulation data of the model can fit the real markets to a certain extent. |
| format | Article |
| id | doaj-art-46144a91f7d54afcb75889d0763733ea |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-46144a91f7d54afcb75889d0763733ea2025-02-03T01:09:45ZengWileyAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/612738612738Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic SystemAnqi Pei0Jun Wang1Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, ChinaInstitute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, ChinaFluctuation 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 effect of return time series are studied for the proposed model and the real stock market by comparison. We also investigate the scaling behaviors of return intervals. And a scaling function of exponential parameter is introduced to analyze fluctuation behaviors of return intervals. The empirical research exhibits that, for proper parameters, the simulation data of the model can fit the real markets to a certain extent.http://dx.doi.org/10.1155/2013/612738 |
| spellingShingle | Anqi Pei Jun Wang Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System Abstract and Applied Analysis |
| title | Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System |
| title_full | Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System |
| title_fullStr | Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System |
| title_full_unstemmed | Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System |
| title_short | Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System |
| title_sort | nonlinear analysis of return time series model by oriented percolation dynamic system |
| url | http://dx.doi.org/10.1155/2013/612738 |
| work_keys_str_mv | AT anqipei nonlinearanalysisofreturntimeseriesmodelbyorientedpercolationdynamicsystem AT junwang nonlinearanalysisofreturntimeseriesmodelbyorientedpercolationdynamicsystem |