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Simplified calculations of time correlation functions in non-stationary complex financial systems

Author

Listed:
  • Zhang, Jiu
  • Jin, Li-Fu
  • Zheng, Bo
  • Li, Yan
  • Jiang, Xiong-Fei

Abstract

For complex dynamic systems in non-stationary states, we develop a useful method to simplify the calculation of time correlations. The method is particularly applied to the financial dynamic systems, with focus on how the past fluctuation drives the future motion of the dynamic variables. The results are important both theoretically and practically. Further, we demonstrate how to construct an investment strategy based on the time correlations.

Suggested Citation

  • Zhang, Jiu & Jin, Li-Fu & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2022. "Simplified calculations of time correlation functions in non-stationary complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    • Handle: RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008736
    DOI: 10.1016/j.physa.2021.126615
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