Entropy and Recurrence Measures of a Financial Dynamic System by an Interacting Voter System
Authored by Jun Wang, Hong-Li Niu
Date Published: 2015
DOI: 10.3390/e17052590
Sponsors:
Chinese National Natural Science Foundation
Platforms:
No platforms listed
Model Documentation:
Other Narrative
Mathematical description
Model Code URLs:
Model code not found
Abstract
A financial time series agent-based model is reproduced and investigated
by the statistical physics system, the finite-range interacting voter
system. The voter system originally describes the collective behavior of
voters who constantly update their positions on a particular topic, which is a continuous-time Markov process. In the proposed model, the
fluctuations of stock price changes are attributed to the market
information interaction amongst the traders and certain similarities of
investors' behaviors. Further, the complexity of return series of the
financial model is studied in comparison with two real stock indexes, the Shanghai Stock Exchange Composite Index and the Hang Seng Index, by
composite multiscale entropy analysis and recurrence analysis. The
empirical research shows that the simulation data for the proposed model
could grasp some natural features of actual markets to some extent.
Tags
behavior
time-series
Price dynamics
Model
Stock-market
Complex-systems
Percolation system
Market fluctuations
Multiscale entropy