Nonlinear scaling analysis approach of agent-based Potts financial dynamical model

摘要

A financial agent-based price model is developed and investigated by one of statistical physics dynamic systems-the Potts model. Potts model, a generalization of the Ising model to more than two components, is a model of interacting spins on a crystalline lattice which describes the interaction strength among the agents. In this work, we investigate and analyze the correlation behavior of normalized returns of the proposed financial model by the power law classification scheme analysis and the empirical mode decomposition analysis. Moreover, the daily returns of Shanghai Composite Index and Shenzhen Component Index are considered, and the comparison nonlinear analysis of statistical behaviors of returns between the actual data and the simulation data is exhibited. (C) 2014 AIP Publishing LLC.