NDLI: Nonlinear stochastic exclusion financial dynamics modeling and complexity behaviors

Content Provider	Springer Nature Link
Author	Zhang, Wei Wang, Jun
Copyright Year	2016
Abstract	In attempt to reproduce and investigate nonlinear dynamics of financial markets, a new random agent-based financial price dynamics is developed and investigated by stochastic exclusion process. The exclusion process, one of Markov interacting processes, is firstly introduced to imitate the trading interactions among the investing agents in this work and to explain various statistical facts found in financial data. To better understand the fluctuation complexity properties of the proposed model, the complex analyses of random logarithmic price return series are preformed, including power-law distribution, Lempel–Ziv complexity, correlation dimension analysis, maximum Lyapunov exponent, mean Lyapunov exponents and Kolmogorov–Sinai entropy density. In order to verify the rationality of the model, the corresponding analyses of real return series are also studied for comparison. The empirical research reveals that this financial model can reproduce similar statistical behaviors, power-law distribution of returns, complexity and chaotic features of returns for real stock markets.
Starting Page	921
Ending Page	935
Page Count	15
File Format	PDF
ISSN	0924090X
Journal	Nonlinear Dynamics
Volume Number	88
Issue Number	2
e-ISSN	1573269X
Language	English
Publisher	Springer Netherlands
Publisher Date	2016-12-23
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Nonlinear fluctuation behavior Stochastic exclusion process Financial price dynamics model Complexity analysis Vibration, Dynamical Systems, Control Classical Mechanics Mechanical Engineering Automotive Engineering
Content Type	Text
Resource Type	Article
Subject	Ocean Engineering Applied Mathematics Control and Systems Engineering Mechanical Engineering Electrical and Electronic Engineering Aerospace Engineering

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