Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System
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 spr...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/806271 |
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| _version_ | 1832566958668644352 |
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| author | Wuyang Cheng Jun Wang |
| author_facet | Wuyang Cheng Jun Wang |
| author_sort | Wuyang Cheng |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-7a3b7d701ddf4721a6c2b1966c4ef351 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-7a3b7d701ddf4721a6c2b1966c4ef3512025-02-03T01:02:41ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/806271806271Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics SystemWuyang Cheng0Jun Wang1School of Science, Beijing Jiaotong University, Key Laboratory of Communication and Information System, Beijing 100044, ChinaSchool of Science, Beijing Jiaotong University, Key Laboratory of Communication and Information System, Beijing 100044, ChinaWe 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.http://dx.doi.org/10.1155/2014/806271 |
| spellingShingle | Wuyang Cheng Jun Wang Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System Abstract and Applied Analysis |
| title | Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System |
| title_full | Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System |
| title_fullStr | Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System |
| title_full_unstemmed | Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System |
| title_short | Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System |
| title_sort | nonlinear fluctuation behavior of financial time series model by statistical physics system |
| url | http://dx.doi.org/10.1155/2014/806271 |
| work_keys_str_mv | AT wuyangcheng nonlinearfluctuationbehavioroffinancialtimeseriesmodelbystatisticalphysicssystem AT junwang nonlinearfluctuationbehavioroffinancialtimeseriesmodelbystatisticalphysicssystem |