Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems.

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2015
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Abstract
In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.
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yang2015numericalchaos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Yang, Ge;Wang, Jun;Fang, Wen;
Journal chaos (woodbury, ny)
Year 2015
DOI
10.1063/1.4917550
URL
Keywords
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