期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 525, 期 -, 页码 1012-1025出版社
ELSEVIER
DOI: 10.1016/j.physa.2019.04.019
关键词
Statistical physics; Multiscale statistical and complex analysis; Financial time series model; Stochastic Ising system; Continuum percolation; Multiscale complex entropy
资金
- National Natural Science Foundation of China [71271026]
A financial dynamics of interaction and jump is developed and investigated by two statistical physics systems - Ising model and continuum percolation. This proposed model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price, in an attempt to describe interacting micromechanism and sudden jump for stock price changes. Further, the corresponding fluctuation behaviors and various complexity properties of logarithmic returns for the financial model are investigated by some statistical and complex analyses. Then p-order multiscale autocorrelation function and q-order multiscale entropy are also introduced to study the financial model with scaled analysis methods. Moreover, the real stock market indexes are used to compare with the simulation returns from the financial model. The empirical research shows that the simulation time series exhibits the similar fluctuation patterns with real time series. (C) 2019 Elsevier B.V. All rights reserved.
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