Statistical volatility duration and complexity of financial dynamics on Sierpinski gasket lattice percolation

摘要: Abstract A novel agent-based financial dynamics is established based on the percolation system Sierpinski gasket lattice to reproduce statistical characteristics of markets. a fractal-like graph which corresponds fractal well-known gasket. Modeling new approach in micro-mechanism construction. In an attempt investigate properties returns and prove feasibility proposed model, two nonlinear statistics maximum average monotonous volatility duration are introduced this work for first time, describe trend return time series Furthermore, method CMCID measure synchronization similarity behaviors multiscale, results show that pairs real data simulated have synchronization, becomes stronger when scale increases And power-law distribution employed corresponding properties, shows model shares common with regard duration. The empirical from historical share indicate reasonable terms behavior.