کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10481153 933057 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice
چکیده انگلیسی
We develop a financial market model using an Ising spin system on a Sierpinski carpet lattice that breaks the equal status of each spin. To study the fluctuation behavior of the financial model, we present numerical research based on Monte Carlo simulation in conjunction with the statistical analysis and multifractal analysis of the financial time series. We extract the multifractal spectra by selecting various lattice size values of the Sierpinski carpet, and the inverse temperature of the Ising dynamic system. We also investigate the statistical fluctuation behavior, the time-varying volatility clustering, and the multifractality of returns for the indices SSE, SZSE, DJIA, IXIC, S&P500, HSI, N225, and for the simulation data derived from the Ising model on the Sierpinski carpet lattice. A numerical study of the model's dynamical properties reveals that this financial model reproduces important features of the empirical data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 392, Issue 18, 15 September 2013, Pages 4055-4063
نویسندگان
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