Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice

Wen Fang and Jun Wang

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 18, 4055-4063

Abstract: 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.

Keywords: Fluctuation behavior; Financial time series; Sierpinski carpet lattice; Ising dynamic system; Multifractal spectrum (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:18:p:4055-4063

DOI: 10.1016/j.physa.2013.04.048

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