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- W2893227230 abstract "Abstract The stochastic finite-range exclusion process, one of statistical physics systems, is introduced to construct a new agent-based financial price model to study the mechanism of market dynamics. A novel volatility aggregation intensity (VAI) time series, describing the fluctuation aggregation intensity of the volatility series, is developed for further investigating the nonlinear volatility behaviors in energy markets. For studying the proposed VAI series and the proposed price model, the New York Mercantile Exchange energy futures data is selected and analyzed. Further, cross-correlation analysis, auto-correlation analysis with multiscale, and multifractal detrended fluctuation analysis are applied to analyze the correlation, volatility-clustering and multifractal natures of the VAI time series. The empirical results show that the proposed model has the parallel behaviors with the authentic markets, indicating that it is rational and available. The new concept of VAI series is of great value and can enrich the study of volatility behaviors in energy markets to some extent." @default.
- W2893227230 created "2018-10-05" @default.
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- W2893227230 date "2019-01-01" @default.
- W2893227230 modified "2023-09-29" @default.
- W2893227230 title "Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics" @default.
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- W2893227230 doi "https://doi.org/10.1016/j.physa.2018.09.083" @default.
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