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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.

Suggested Citation

  • Xu Wang & Jun Wang, 2012. "Statistical Behavior of a Financial Model by Lattice Fractal Sierpinski Carpet Percolation," Journal of Applied Mathematics, John Wiley & Sons, vol. 2012(1).
    • Handle: RePEc:wly:jnljam:v:2012:y:2012:i:1:n:735068
    DOI: 10.1155/2012/735068
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    Cited by:

    1. Anqi Pei & Jun Wang, 2013. "Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System," Abstract and Applied Analysis, John Wiley & Sons, vol. 2013(1).

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