Simplified calculations of time correlation functions in non-stationary complex financial systems

Jiu Zhang, Li-Fu Jin, Bo Zheng, Yan Li and Xiong-Fei Jiang

Physica A: Statistical Mechanics and its Applications, 2022, vol. 589, issue C

Abstract: For complex dynamic systems in non-stationary states, we develop a useful method to simplify the calculation of time correlations. The method is particularly applied to the financial dynamic systems, with focus on how the past fluctuation drives the future motion of the dynamic variables. The results are important both theoretically and practically. Further, we demonstrate how to construct an investment strategy based on the time correlations.

Keywords: Complex dynamic systems; Non-stationary states; Time correlations (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008736

DOI: 10.1016/j.physa.2021.126615

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