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Nonlinear complexity of random visibility graph and Lempel-Ziv on multitype range-intensity interacting financial dynamics

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  • Zhang, Yali
  • Wang, Jun

Abstract

In an attempt to investigate the nonlinear complex evolution of financial dynamics, a new financial price model — the multitype range-intensity contact (MRIC) financial model, is developed based on the multitype range-intensity interacting contact system, in which the interaction and transmission of different types of investment attitudes in a stock market are simulated by viruses spreading. Two new random visibility graph (VG) based analyses and Lempel-Ziv complexity (LZC) are applied to study the complex behaviors of return time series and the corresponding random sorted series. The VG method is the complex network theory, and the LZC is a non-parametric measure of complexity reflecting the rate of new pattern generation of a series. In this work, the real stock market indices are considered to be comparatively studied with the simulation data of the proposed model. Further, the numerical empirical study shows the similar complexity behaviors between the model and the real markets, the research confirms that the financial model is reasonable to some extent.

Suggested Citation

  • Zhang, Yali & Wang, Jun, 2017. "Nonlinear complexity of random visibility graph and Lempel-Ziv on multitype range-intensity interacting financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 741-756.
  • Handle: RePEc:eee:phsmap:v:482:y:2017:i:c:p:741-756
    DOI: 10.1016/j.physa.2017.04.166
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    Cited by:

    1. Zhang, Yali & Wang, Jun, 2019. "Linkage influence of energy market on financial market by multiscale complexity synchronization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 254-266.
    2. Jia, Linlu & Ke, Jinchuan & Wang, Jun, 2019. "Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 370-383.
    3. Lahmiri, Salim & Bekiros, Stelios & Avdoulas, Christos, 2018. "Time-dependent complexity measurement of causality in international equity markets: A spatial approach," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 215-219.

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