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• W2072327660 abstract "An agent-based financial stock price model is developed and investigated by a stochastic interacting epidemic system, which is one of the statistical physics systems and has been used to model the spread of an epidemic or a forest fire. Numerical and statistical analysis are performed on the simulated returns of the proposed financial model. Complexity properties of the financial time series are explored by calculating the correlation dimension and using the modified multiscale entropy method. In order to verify the rationality of the financial model, the real stock market indexes, Shanghai Composite Index and Shenzhen Component Index, are studied in comparison with the simulation data of the proposed model for the different infectiousness parameters. The empirical research reveals that this financial model can reproduce some important features of the real stock markets." @default.
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• W2072327660 date "2015-06-01" @default.
• W2072327660 modified "2023-10-07" @default.
• W2072327660 title "Agent-based financial dynamics model from stochastic interacting epidemic system and complexity analysis" @default.
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• W2072327660 doi "https://doi.org/10.1016/j.physleta.2015.02.004" @default.
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