Nonlinear monotonic volatility duration and matching energy of random exclusion financial dynamics

Yani Xing and Jun Wang ()
Additional contact information
Yani Xing: 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), 2019, vol. 30, issue 04, 1-19

Abstract: Financial markets have been known to exhibit plentiful nonlinear complex volatility behaviors. In order to reproduce the volatility dynamics of financial price changes, the agent-based financial model is established by stochastic finite-range exclusion process. The exclusion process is a kind of statistical physics system, which is considered as modeling particle Markov motion with conserved number of particles. To measure the volatility of financial return series, a novel statistic called maximum monotonic volatility rate is put forward to measure the speed of monotonic volatility of returns. Meanwhile, average monotonic volatility duration of returns is also investigated, which can reflect the average volatility level. For verifying the rationality of the model, matching energy analysis that can detect chaos and complexity in nonlinear time series is applied to study the new statistics. Further, empirical mode decomposition and multifractal are employed to study the behaviors of monotonic volatility duration. The model has similar complexity behaviors with real markets in terms of monotonic volatility with matching energy analysis, and the proposed financial model and real markets both show multifractal and anti-correlation for average monotonic volatility series by MFDFA method. The results display that the model is feasible with respect to above volatility analyses.

Keywords: Statistical physics; agent-based financial model; monotonic volatility duration; empirical mode decomposition; matching energy complexity; multifractal (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0129183119500232
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:30:y:2019:i:04:n:s0129183119500232

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0129183119500232

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 ().