Persistence probabilities of the German DAX and Shanghai Index

F. Ren, B. Zheng, H. Lin, L.Y. Wen and S. Trimper

Physica A: Statistical Mechanics and its Applications, 2005, vol. 350, issue 2, 439-450

Abstract: We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations nonlocal in time. Universal and non-universal behaviors of the German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point z0=0, the interacting herding model produces the scaling behavior of the real markets.

Keywords: Nonequilibrium kinetics; Financial dynamics; Critical dynamics (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:350:y:2005:i:2:p:439-450

DOI: 10.1016/j.physa.2004.11.054

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