Persistence probabilities of the German DAX and Shanghai Index

• DOI: 10.1016/j.physa.2004.11.054
• Publication Date: 2004-12-29T05:14:09Z
• Authors: F. Ren; B. Zheng; H. Lin; L.Y. Wen; S. Trimper
• Keywords: FOS: Economics and business; Statistical Finance (q-fin.ST); 0103 physical sciences; Quantitative Finance - Statistical Finance; FOS: Physical sciences; Adaptation and Self-Organizing Systems (nlin.AO); 01 natural sciences; Nonlinear Sciences - Adaptation and Self-Organizing Systems

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 non-local 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 $z_0=0$, the interacting herding model produces the scaling behavior of the real markets.