Complex and Entropy of Fluctuations of Agent-Based Interacting Financial Dynamics with Random Jump

摘要: This paper investigates the complex behaviors and entropy properties for a novel random interacting stock price dynamics, which is established by combination of stochastic contact process compound Poisson process, concerning with return fluctuations caused spread investors’ attitudes jump macroeconomic environment, respectively. To better understand fluctuation proposed analyses logarithmic returns corresponding absolute simulation dataset different parameter set are preformed, including permutation entropy, fractional sample entropy. We found that larger λ or γ leads to more series exhibit lower dynamics than series. verify rationality model, actual market datasets also comparatively preformed. The empirical results model can reproduce some important markets extent.