New approach of financial volatility duration dynamics by stochastic finite-range interacting voter system.
New approach of financial volatility duration dynamics by stochastic finite-range interacting voter system.
复制标题
DOI：
10.1063/1.4974216
复制
发表时间：
2017-01
期刊：
影响因子：
2.9
通讯作者：
Guochao Wang;Jui-Pin Wang
中科院分区：
文献类型：
--
作者：
Guochao Wang;Jui-Pin Wang
对金融波动期动态的波动行为进行了研究。提出了波动性双分量幅度强度（VTRI）的新概念，它构成了波动强度的最大变化范围和持续时间的最短通过时间，可以量化金融市场中的投资风险。为了研究和描述VTRI的非线性复杂特性，利用有限范围相互作用的有偏见的投票人系统，建立了一个基于随机代理的金融价格模型。研究了回归时间序列和VTRI序列的自相关行为和幂律标度行为。然后，利用模糊熵（FuzzyEn）和Lempel-Ziv复杂度分析了实际市场VTRI序列和所提模型的复杂性。在此过程中，我们应用交叉模糊熵（C-FuzzyEn）来研究VTRI级数对的异步性。实证结果表明，所提出的模型具有与实际市场相似的复杂行为，表明所提出的股票VTRI序列分析和财务模型在一定程度上是有意义和可行的。
We make an approach on investigating the fluctuation behaviors of financial volatility duration dynamics. A new concept of volatility two-component range intensity (VTRI) is developed, which constitutes the maximal variation range of volatility intensity and shortest passage time of duration, and can quantify the investment risk in financial markets. In an attempt to study and describe the nonlinear complex properties of VTRI, a random agent-based financial price model is developed by the finite-range interacting biased voter system. The autocorrelation behaviors and the power-law scaling behaviors of return time series and VTRI series are investigated. Then, the complexity of VTRI series of the real markets and the proposed model is analyzed by Fuzzy entropy (FuzzyEn) and Lempel-Ziv complexity. In this process, we apply the cross-Fuzzy entropy (C-FuzzyEn) to study the asynchrony of pairs of VTRI series. The empirical results reveal that the proposed model has the similar complex behaviors with the actual markets and indicate that the proposed stock VTRI series analysis and the financial model are meaningful and feasible to some extent.