Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System
Joint Authors
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-10-31
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Fluctuation dynamics of financial price changes is developed and investigated by oriented percolation system; oriented percolation is percolation with a special direction along which the activity can only propagate one way but not the other.
Then, nonlinear behaviors of distribution and leverage effect of return time series are studied for the proposed model and the real stock market by comparison.
We also investigate the scaling behaviors of return intervals.
And a scaling function of exponential parameter is introduced to analyze fluctuation behaviors of return intervals.
The empirical research exhibits that, for proper parameters, the simulation data of the model can fit the real markets to a certain extent.
American Psychological Association (APA)
Pei, Anqi& Wang, Jun. 2013. Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-12.
https://search.emarefa.net/detail/BIM-485085
Modern Language Association (MLA)
Pei, Anqi& Wang, Jun. Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System. Abstract and Applied Analysis No. 2013 (2013), pp.1-12.
https://search.emarefa.net/detail/BIM-485085
American Medical Association (AMA)
Pei, Anqi& Wang, Jun. Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-12.
https://search.emarefa.net/detail/BIM-485085
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-485085