1. Persistence Probabilities of the German DAX and Shanghai Index
- Author
-
Ren, F., Zheng, B., Lin, H., Wen, L. Y., and Trimper, S.
- Subjects
Nonlinear Sciences - Adaptation and Self-Organizing Systems ,Quantitative Finance - 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 $z_0=0$, the interacting herding model produces the scaling behavior of the real markets.
- Published
- 2005
- Full Text
- View/download PDF