Statistical Behavior of a Financial Model by Lattice Fractal Sierpinski Carpet Percolation
Statistical Behavior of a Financial Model by Lattice Fractal Sierpinski Carpet Percolation
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格子分形谢尔宾斯基地毯渗滤金融模型的统计行为
DOI：
10.1155/2012/735068
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发表时间：
2012-01-01
影响因子：
--
通讯作者：
Wang, Jun
中科院分区：
文献类型：
--
作者：
Wang, Xu;Wang, Jun
应用格形分形Sierpinski地毯和渗流理论，构造了一种新的随机股票价格模型。渗流理论通常用来描述随机图中连通簇的行为，而Sierpinski地毯是一种无限分枝的分形。本文考虑Sierpinski地毯格上的渗流问题，给出并研究了相应的金融价格模型。然后，通过比较分析香港恒生指数和金融模型模拟数据的统计行为。
The lattice fractal Sierpinski carpet and the percolation theory are applied to develop a new random stock price for the financial market. Percolation theory is usually used to describe the behavior of connected clusters in a random graph, and Sierpinski carpet is an infinitely ramified fractal. In this paper, we consider percolation on the Sierpinski carpet lattice, and the corresponding financial price model is given and investigated. Then, we analyze the statistical behaviors of the Hong Kong Hang Seng Index and the simulative data derived from the financial model by comparison.