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Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics

Author

Listed:
  • Min Wang

    (School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China)

  • Jun Wang

    (School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China)

Abstract

A random stock price model based on the multi-continuum percolation system is developed to investigate the nonlinear dynamics of stock price volatility duration, in an attempt to explain various statistical facts found in financial data, and have a deeper understanding of mechanisms in the financial market. The continuum percolation system is usually referred to be a random coverage process or a Boolean model, it is a member of a class of statistical physics systems. In this paper, the multi-continuum percolation (with different values of radius) is employed to model and reproduce the dispersal of information among the investors. To testify the rationality of the proposed model, the nonlinear analyses of return volatility duration series are preformed by multifractal detrending moving average analysis and Zipf analysis. The comparison empirical results indicate the similar nonlinear behaviors for the proposed model and the actual Chinese stock market.

Suggested Citation

  • Min Wang & Jun Wang, 2017. "Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 28(05), pages 1-21, May.
    • Handle: RePEc:wsi:ijmpcx:v:28:y:2017:i:05:n:s012918311750067x
    DOI: 10.1142/S012918311750067X
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    References listed on IDEAS

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    1. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
    2. Laurent E. Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
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