Nonlinear analysis of volatility duration financial series model by stochastic interacting dynamic system

作者：Yang, Ge^*; Wang, Jun; Deng, Wei

来源：Nonlinear Dynamics, 2015, 80(1-2): 701-713.

DOI：10.1007/s11071-015-1899-2

• Nonlinear analysis
• Financial price model
• Stochastic contact process
• Volatility duration analysis
• Cross-correlation analysis
• Zipf analysis

A stochastic financial price model is introduced by the contact dynamic system to simulate the behaviors of real asset markets. The contact system is a model for epidemic spreading that mimics the interplay of local infections and recovery of individuals. We also develop an analysis method to detect the duration and intensity relationship in volatility series, this research shows an analysis approach to the time series analysis. In the empirical research of volatility duration series of returns, the Zipf behaviors of Shanghai Stock Exchange Composite Index and the simulative data derived from the proposed financial model are analyzed by comparison. Furthermore, we study the cross-correlation behaviors of pair normalized volatility duration series for the simulation data and the real markets data.

• 出版日期2015-4
• 单位北京交通大学