Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump

Linlu Jia, Jinchuan Ke and Jun Wang

Physica A: Statistical Mechanics and its Applications, 2020, vol. 542, issue C

Abstract: A novel financial price model combining stochastic exclusion system and compound Poisson process with lattice fractal Sierpinski carpet percolation jumps is established to reflect fluctuation behaviors of energy markets. The exclusion system (one of statistical physics systems) is applied in implementing interaction behaviors of traders, and the percolation theory is used to implement gusty jumps of price volatilities. Further, the actual market data and the simulation data are combined to analyze statistical properties and complex characteristics by applying autocorrelation analysis, detrended fluctuation analysis method and fractional fuzzy entropy. Moreover, a new synchronization measurement method named the cross CID FuzzyEn, which is composed of cross-fuzzy entropy and complexity-invariant distance, is firstly proposed in this work. Empirical results show that the analog returns and the actual returns have parallel characteristics and strong synchronicity, which displays that the proposed model is rational and can effectively reflect the internal mechanism of real energy markets to some extent.

Keywords: statistical physics system; Stochastic exclusion process; Lattice fractal Sierpinski carpet percolation; Financial price model; Fractional fuzzy entropy; Complexity synchronization (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319545

DOI: 10.1016/j.physa.2019.123503

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