Fluctuation complexity of agent-based financial time series model by stochastic Potts system

Weijia Hong () and Jun Wang
Additional contact information
Weijia Hong: School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China
Jun Wang: School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China

International Journal of Modern Physics C (IJMPC), 2015, vol. 26, issue 11, 1-19

Abstract: Financial market is a complex evolved dynamic system with high volatilities and noises, and the modeling and analyzing of financial time series are regarded as the rather challenging tasks in financial research. In this work, by applying the Potts dynamic system, a random agent-based financial time series model is developed in an attempt to uncover the empirical laws in finance, where the Potts model is introduced to imitate the trading interactions among the investing agents. Based on the computer simulation in conjunction with the statistical analysis and the nonlinear analysis, we present numerical research to investigate the fluctuation behaviors of the proposed time series model. Furthermore, in order to get a robust conclusion, we consider the daily returns of Shanghai Composite Index and Shenzhen Component Index, and the comparison analysis of return behaviors between the simulation data and the actual data is exhibited.

Keywords: Potts model; financial time series model; statistical physics; statistical analysis; nonlinear analysis (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0129183115501235
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijmpcx:v:26:y:2015:i:11:n:s0129183115501235

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0129183115501235

Access Statistics for this article

International Journal of Modern Physics C (IJMPC) is currently edited by H. J. Herrmann

More articles in International Journal of Modern Physics C (IJMPC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().