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Fluctuation entropy and complexity of financial percolation model with random jump on gasket fractal lattice

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  • Zhang, Yali
  • Wang, Jun

Abstract

In an attempt to investigate the statistical complexity mechanics of stock markets, a novel stochastic interacting financial dynamics is proposed by Sierpinski gasket fractal lattice percolation with random jump. Sierpinski gasket is a famous example of fractals, and Sierpinski gasket lattice is a fractal-like graph which corresponds to that. Fuzzy entropy and multiscale composite complexity synchronization are applied to investigate the complexity and synchronization behaviors of security time series. Further, the similar statistical methods are used to analyze the actual stock market for comparison, which verifies the rationality and effectiveness of the financial model. The results suggest that the randomness of return series from the model increases with the increase of the parameter, which indicates the frequency of unexpected events affecting the stock market within the unit time and shows that the time series basically become more synchronous as the time scale increases. The empirical studies indicate that this stochastic price model is reasonable to a certain degree.

Suggested Citation

  • Zhang, Yali & Wang, Jun, 2019. "Fluctuation entropy and complexity of financial percolation model with random jump on gasket fractal lattice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
    • Handle: RePEc:eee:phsmap:v:531:y:2019:i:c:s0378437119310398
    DOI: 10.1016/j.physa.2019.121754
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    Citations

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    Cited by:

    1. Myshlyavtsev, A.V. & Myshlyavtseva, M.D. & Akimenko, S.S., 2020. "Classical lattice models with single-node interactions on hierarchical lattices: The two-layer Ising model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    2. Rahimi, Fatemeh & Mousavian Anaraki, Seyed Alireza, 2020. "Proposing an Innovative Model Based on the Sierpinski Triangle for Forecasting EUR/USD Direction Changes," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(4), pages 423-444, October.
    3. Anisimova, G.D. & Myshlyavtsev, A.V. & Akimenko, S.S., 2021. "The two-layer Ising model on a sequence of diamond-like hierarchical lattices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).

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