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Title of Journal: Nonlinear Dyn

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Abbravation: Nonlinear Dynamics

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Springer Netherlands

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DOI

10.1007/s00761-006-1150-3

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1573-269X

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Multiscale behavior of financial time series model

Authors: Weijia Hong Jun Wang
Publish Date: 2014/06/13
Volume: 78, Issue: 2, Pages: 1065-1077
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Abstract

A financial agentbased time series model is developed and investigated by the Potts model Potts model a generalization of the Ising model to more than two components is a model of interacting spins on a crystalline lattice which describes the interaction strength among the agents We present numerical research in conjunction with statistical analysis and correlation analysis in an attempt to study the volatilities of financial time series The fluctuation behavior of logarithmic returns of the proposed model is investigated by multiscale entropy and timedependent intrinsic correlation Furthermore in order to obtain a robust conclusion the daily returns of Shanghai Composite Index and Shenzhen Component Index are considered and the comparisons of return behaviors between the simulation data and the actual data are exhibited

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