Abstract
A random financial stock price model is developed by the interacting contact process, which is one of the statistical-physics systems. The contact process is a continuous-time Markov process, one interpretation of this process is as a model for the spread of an infection, where the epidemic spreading mimics the interplay of local infections and the recovery of individuals. We investigate and analyze the long-term memory, the nonlinear correlations and the multifractal phenomenon of normalized returns of the price model by statistical analysis methods, which include autocorrelation analysis, the Gaussian copula method and the multifractal analysis method. Moreover, we consider the daily returns of the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index, and the comparisons of statistical behaviors of returns between the actual data and the simulation data are presented.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
