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Statistical Behavior of a Financial Model by Lattice Fractal Sierpinski Carpet Percolation

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  • Xu Wang
  • Jun Wang

Abstract

The lattice fractal Sierpinski carpet and the percolation theory are applied to develop a new random stock price for the financial market. Percolation theory is usually used to describe the behavior of connected clusters in a random graph, and Sierpinski carpet is an infinitely ramified fractal. In this paper, we consider percolation on the Sierpinski carpet lattice, and the corresponding financial price model is given and investigated. Then, we analyze the statistical behaviors of the Hong Kong Hang Seng Index and the simulative data derived from the financial model by comparison.

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  • Xu Wang & Jun Wang, 2012. "Statistical Behavior of a Financial Model by Lattice Fractal Sierpinski Carpet Percolation," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-12, February.
    • Handle: RePEc:hin:jnljam:735068
    DOI: 10.1155/2012/735068
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    Cited by:

    1. Xing, Yani & Wang, Jun, 2019. "Statistical volatility duration and complexity of financial dynamics on Sierpinski gasket lattice percolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 234-247.

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