Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system.

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ID: 70091
2015
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Abstract
Based on the epidemic dynamical system, we construct a new agent-based financial time series model. In order to check and testify its rationality, we compare the statistical properties of the time series model with the real stock market indices, Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index. For analyzing the statistical properties, we combine the multi-parameter analysis with the tail distribution analysis, the modified rescaled range analysis, and the multifractal detrended fluctuation analysis. For a better perspective, the three-dimensional diagrams are used to present the analysis results. The empirical research in this paper indicates that the long-range dependence property and the multifractal phenomenon exist in the real returns and the proposed model. Therefore, the new agent-based financial model can recurrence some important features of real stock markets.
Reference Key
lu2015nonlinearchaos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Lu, Yunfan;Wang, Jun;Niu, Hongli;
Journal chaos (woodbury, ny)
Year 2015
DOI
10.1063/1.4930314
URL
Keywords
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