Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 432, Issue -, Pages 301-314Publisher
ELSEVIER
DOI: 10.1016/j.physa.2015.03.057
Keywords
Financial time series model; Stochastic Ising system; Empirical mode decomposition; Volatility analysis; Visibility graph; Horizontal visibility graph
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Funding
- National Natural Science Foundation of China [71271026, 10971010]
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A financial market dynamics model is developed and investigated by stochastic Ising system, where the Ising model is the most popular ferromagnetic model in statistical physics systems. Applying two graph based analysis and multiscale entropy method, we investigate and compare the statistical volatility behavior of return time series and the corresponding IMF series derived from the empirical mode decomposition (EMD) method. And the real stock market indices are considered to be comparatively studied with the simulation data of the proposed model. Further, we find that the degree distribution of visibility graph for the simulation series has the power law tails, and the assortative network exhibits the mixing pattern property. All these features are in agreement with the real market data, the research confirms that the financial model established by the Ising system is reasonable. (C) 2015 Elsevier B.V. All rights reserved.
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