Persistence Probabilities of the German DAX and Shanghai Index
We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in time. Universal and non-universal behaviors of the German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point $z_0=0$, the interacting herding model produces the scaling behavior of the real markets.
Year of publication: |
2005-11
|
---|---|
Authors: | Ren, F. ; Zheng, B. ; Lin, H. ; Wen, L. Y. ; Trimper, S. |
Institutions: | arXiv.org |
Saved in:
Saved in favorites
Similar items by person
-
Persistence probabilities of the German DAX and Shanghai Index
Ren, F., (2005)
-
Modeling interaction of trading volume in financial dynamics
Ren, F., (2008)
-
Statistical properties of German Dax and Chinese indices
Qiu, T., (2007)
- More ...