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

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ID: 70092
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.
Reference Key
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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