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Title: Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.
Authors:
;  [1] ;  [2]
  1. School of Science, Beijing Jiaotong University, Beijing 100044 (China)
  2. School of Economics and Management, Beijing Jiaotong University, Beijing 100044 (China)
Publication Date:
OSTI Identifier:
22402550
Resource Type:
Journal Article
Resource Relation:
Journal Name: Chaos (Woodbury, N. Y.); Journal Volume: 25; Journal Issue: 4; Other Information: (c) 2015 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; COMPUTERIZED SIMULATION; DYNAMICS; INVESTMENT; MARKET; MONTE CARLO METHOD; NONLINEAR PROBLEMS; NUMERICAL ANALYSIS; PRICES; RANDOMNESS; STOCHASTIC PROCESSES