Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets

详细信息    查看全文

• 作者：Yayun Zeng ; ^{yayunzeng@bjtu.edu.cn} ; Jun Wang ; Kaixuan Xu
• 关键词：Multiscale-continuum percolation system ; Nonlinear complexity behavior ; Financial dynamics model ; Multifractal detrended fluctuation analysis ; Multiscale sample entropy ; Cross-sample entropy
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：364-376
• 全文大小：1121 K
• 卷排序：471

文摘

New agent-based financial dynamics is developed by multiscale-continuum percolation. MCSE is used to measure the degree of asynchrony of return autocorrelation series. The complexity of returns of the model is investigated by the MSE analysis. Nonlinear complexity and multifractal features of returns are demonstrated. Empirical research shows the rationality of the proposed model for financial dynamics.