Volatility behavior of visibility graph EMD financial time series from Ising interacting system

Bo Zhang, Jun Wang and Wen Fang

Physica A: Statistical Mechanics and its Applications, 2015, vol. 432, issue C, 301-314

Abstract: A financial market dynamics model is developed and investigated by stochastic Ising system, where the Ising model is the most popular ferromagnetic model in statistical physics systems. Applying two graph based analysis and multiscale entropy method, we investigate and compare the statistical volatility behavior of return time series and the corresponding IMF series derived from the empirical mode decomposition (EMD) method. And the real stock market indices are considered to be comparatively studied with the simulation data of the proposed model. Further, we find that the degree distribution of visibility graph for the simulation series has the power law tails, and the assortative network exhibits the mixing pattern property. All these features are in agreement with the real market data, the research confirms that the financial model established by the Ising system is reasonable.

Keywords: Financial time series model; Stochastic Ising system; Empirical mode decomposition; Volatility analysis; Visibility graph; Horizontal visibility graph (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:432:y:2015:i:c:p:301-314

DOI: 10.1016/j.physa.2015.03.057

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