Persistence probabilities of the German DAX and Shanghai Index
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
DOI:
10.1016/j.physa.2004.11.054
Publication Date:
2004-12-29T05:14:09Z
AUTHORS (5)
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 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.
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