Abstract and Applied Analysis

Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System

Wuyang Cheng and Jun Wang

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Abstract

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.

Article information

Source
Abstr. Appl. Anal., Volume 2014, Special Issue (2014), Article ID 806271, 11 pages.

Dates
First available in Project Euclid: 3 October 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1412364369

Digital Object Identifier
doi:10.1155/2014/806271

Mathematical Reviews number (MathSciNet)
MR3212449

Zentralblatt MATH identifier
07023111

Citation

Cheng, Wuyang; Wang, Jun. Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System. Abstr. Appl. Anal. 2014, Special Issue (2014), Article ID 806271, 11 pages. doi:10.1155/2014/806271. https://projecteuclid.org/euclid.aaa/1412364369


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