刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:1 April 2017
年:2017
卷:471
期:Complete
页码:364-376
全文大小:1121 K
卷排序:471
文摘
New agent-based financial dynamics is developed by multiscale-continuum percolation. MCSE is used to measure the degree of asynchrony of return autocorrelation series. The complexity of returns of the model is investigated by the MSE analysis. Nonlinear complexity and multifractal features of returns are demonstrated. Empirical research shows the rationality of the proposed model for financial dynamics.