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Persistence probabilities of the German DAX and Shanghai Index

Author

Listed:
  • Ren, F.
  • Zheng, B.
  • Lin, H.
  • Wen, L.Y.
  • Trimper, S.

Abstract

We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations nonlocal in time. Universal and non-universal behaviors of the German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point z0=0, the interacting herding model produces the scaling behavior of the real markets.

Suggested Citation

  • Ren, F. & Zheng, B. & Lin, H. & Wen, L.Y. & Trimper, S., 2005. "Persistence probabilities of the German DAX and Shanghai Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 439-450.
    • Handle: RePEc:eee:phsmap:v:350:y:2005:i:2:p:439-450
    DOI: 10.1016/j.physa.2004.11.054
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    References listed on IDEAS

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    Cited by:

    1. Ren, Fei & Guo, Liang & Zhou, Wei-Xing, 2009. "Statistical properties of volatility return intervals of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 881-890.
    2. Zhang, Xu & Huang, Tao & Wang, Chunping & Zeng, Chunhua, 2023. "The temporal correlation of fluctuation–variation in the non-stationary complex climate system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    3. Niu, Hongli & Wang, Weiqing & Zhang, Junhuan, 2019. "Recurrence duration statistics and time-dependent intrinsic correlation analysis of trading volumes: A study of Chinese stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 838-854.
    4. Niu, Hongli & Wang, Jun, 2017. "Return volatility duration analysis of NYMEX energy futures and spot," Energy, Elsevier, vol. 140(P1), pages 837-849.
    5. Ren, F. & Zheng, B. & Chen, P., 2010. "Modeling interactions of trading volumes in financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2744-2750.

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