期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 392, 期 18, 页码 4055-4063出版社
ELSEVIER
DOI: 10.1016/j.physa.2013.04.048
关键词
Fluctuation behavior; Financial time series; Sierpinski carpet lattice; Ising dynamic system; Multifractal spectrum
资金
- National Natural Science Foundation of China [71271026, 10971010]
- Fundamental Research Funds for the Central Universities [2011YJS077]
- China Scholarship Council Fund
We develop a financial market model using an Ising spin system on a Sierpinski carpet lattice that breaks the equal status of each spin. To study the fluctuation behavior of the financial model, we present numerical research based on Monte Carlo simulation in conjunction with the statistical analysis and multifractal analysis of the financial time series. We extract the multifractal spectra by selecting various lattice size values of the Sierpinski carpet, and the inverse temperature of the Ising dynamic system. We also investigate the statistical fluctuation behavior, the time-varying volatility clustering, and the multifractality of returns for the indices SSE, SZSE, DJIA, IXIC, S&P500, HSI, N225, and for the simulation data derived from the Ising model on the Sierpinski carpet lattice. A numerical study of the model's dynamical properties reveals that this financial model reproduces important features of the empirical data. (C) 2013 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据