کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102834 1480091 2017 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation
ترجمه فارسی عنوان
مدل سازی پویایی مالی غیر وابسته به تصادف غیرخطی و وابستگی زمانی وابسته به درون متقابل
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
In attempt to reproduce price dynamics of financial markets, a stochastic agent-based financial price model is proposed and investigated by stochastic exclusion process. The exclusion process, one of interacting particle systems, is usually thought of as modeling particle motion (with the conserved number of particles) in a continuous time Markov process. In this work, the process is utilized to imitate the trading interactions among the investing agents, in order to explain some stylized facts found in financial time series dynamics. To better understand the correlation behaviors of the proposed model, a new time-dependent intrinsic detrended cross-correlation (TDI-DCC) is introduced and performed, also, the autocorrelation analyses are applied in the empirical research. Furthermore, to verify the rationality of the financial price model, the actual return series are also considered to be comparatively studied with the simulation ones. The comparison results of return behaviors reveal that this financial price dynamics model can reproduce some correlation features of actual stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 482, 15 September 2017, Pages 29-41
نویسندگان
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