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Complex dynamic behaviors of oriented percolation-based financial time series and Hang Seng index

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  • Niu, Hongli
  • Wang, Jun
Abstract
We develop a financial price model by the two-dimensional oriented (directed) percolation system. The oriented percolation model is a directed variant of ordinary (isotropic) percolation, and it is applied to describe the fluctuations of stock prices. In this work, we assume that the price fluctuations result from the participants’ investment attitudes toward the market, and we investigate the information spreading among the traders and the corresponding effect on the price fluctuations. We study the complex dynamic behaviors of return time series of the model by using the multiaspect chaos-exploring methods. And we also explore the corresponding behaviors of the actual market index (Hang Seng Index) for comparison. Further, we introduce the radial basic function (RBF) neural network to train and forecast the phase point of reconstructed phase space.

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  • Niu, Hongli & Wang, Jun, 2013. "Complex dynamic behaviors of oriented percolation-based financial time series and Hang Seng index," Chaos, Solitons & Fractals, Elsevier, vol. 52(C), pages 36-44.
    • Handle: RePEc:eee:chsofr:v:52:y:2013:i:c:p:36-44
    DOI: 10.1016/j.chaos.2013.03.009
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    References listed on IDEAS

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    1. Wen Fang & Jun Wang, 2012. "Statistical Properties And Multifractal Behaviors Of Market Returns By Ising Dynamic Systems," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-14.
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    3. Plerou, Vasiliki & Gopikrishnan, Parameswaran & Rosenow, Bernd & Amaral, Luis A.N. & Stanley, H.Eugene, 2000. "Econophysics: financial time series from a statistical physics point of view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 279(1), pages 443-456.
    4. Junhuan Zhang & Jun Wang & Jiguang Shao, 2010. "Finite-Range Contact Process On The Market Return Intervals Distributions," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 13(05), pages 643-657.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    6. Yao Yu & Jun Wang, 2012. "Lattice-oriented percolation system applied to volatility behavior of stock market," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(4), pages 785-797, August.
    7. Xiao, Di & Wang, Jun, 2012. "Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4827-4838.
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    Cited by:

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    7. Wang, Yiduan & Zheng, Shenzhou & Zhang, Wei & Wang, Jun & Wang, Guochao, 2018. "Modeling and complexity of stochastic interacting Lévy type financial price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 498-511.

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