Lattice-oriented percolation system applied to volatility behavior of stock market |
| |
Authors: | Yao Yu |
| |
Institution: | Department of Mathematics, Key Laboratory of Communication and Information System , Beijing Jiaotong University , Beijing , 100044 , People's Republic of China |
| |
Abstract: | In this paper, a discrete time series of stock price process is modeled by the two-dimensional lattice-oriented bond percolation system. Percolation theory, as one of statistical physics systems, has brought new understanding and techniques to a broad range of topics in nature and society. According to this financial model, we studied the statistical behaviors of the stock price from the model and the real stock prices by comparison. We also investigated the probability distributions, the long memory and the long-range correlations of price returns for the actual data and the simulative data. The empirical research exhibits that for proper parameters, the simulative data of the financial model can fit the real markets to a certain extent. |
| |
Keywords: | statistical analysis lattice-oriented percolation computer simulation returns link relative price long memory long-range correlations |
|
|