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Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-14
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Cheng, Wuyang& Wang, Jun. 2014. Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1014823
Modern Language Association (MLA)
Cheng, Wuyang& Wang, Jun. Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System. Abstract and Applied Analysis No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1014823
American Medical Association (AMA)
Cheng, Wuyang& Wang, Jun. Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1014823
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1014823