Interacting price model and fluctuation behavior analysis from Lempel–Ziv complexity and multi-scale weighted-permutation entropy
作者： Rui Li , Jun Wang
DOI: 10.1016/J.PHYSLETA.2015.09.042
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摘要: Abstract A financial price model is developed based on the voter interacting system in this work. The Lempel–Ziv complexity introduced to analyze complex behaviors of stock market. Some market stylized facts including fat tails, absence autocorrelation and volatility clustering are investigated for proposed firstly. Then fluctuation real markets mainly explored by (LZC) analysis multi-scale weighted-permutation entropy (MWPE) analysis. series LZC analyses returns absolute daily closing prices moving average performed. Moreover, returns, their corresponding intrinsic mode functions (IMFs) derived from empirical decomposition (EMD) with MWPE also investigated. numerical study shows similar statistical between markets, which exhibits that feasible some extent.
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