Persistence Probabilities of the German DAX and Shanghai Index
Adaptation and Self-Organizing Systems
2009-11-11 v1 Statistical Finance
Abstract
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 , the interacting herding model produces the scaling behavior of the real markets.
Cite
@article{arxiv.nlin/0511048,
title = {Persistence Probabilities of the German DAX and Shanghai Index},
author = {F. Ren and B. Zheng and H. Lin and L. Y. Wen and S. Trimper},
journal= {arXiv preprint arXiv:nlin/0511048},
year = {2009}
}