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• W2562361707 abstract "A new financial agent-based time series model is developed and investigated by multiscale-continuum percolation system, which can be viewed as an extended version of continuum percolation system. In this financial model, for different parameters of proportion and density, two Poisson point processes (where the radii of points represent the ability of receiving or transmitting information among investors) are applied to model a random stock price process, in an attempt to investigate the fluctuation dynamics of the financial market. To validate its effectiveness and rationality, we compare the statistical behaviors and the multifractal behaviors of the simulated data derived from the proposed model with those of the real stock markets. Further, the multiscale sample entropy analysis is employed to study the complexity of the returns, and the cross-sample entropy analysis is applied to measure the degree of asynchrony of return autocorrelation time series. The empirical results indicate that the proposed financial model can simulate and reproduce some significant characteristics of the real stock markets to a certain extent." @default.
• W2562361707 created "2017-01-06" @default.
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• W2562361707 date "2017-04-01" @default.
• W2562361707 modified "2023-10-17" @default.
• W2562361707 title "Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets" @default.
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• W2562361707 doi "https://doi.org/10.1016/j.physa.2016.12.023" @default.
• W2562361707 hasPublicationYear "2017" @default.
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