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A Multifractal Detrended Fluctuation Analysis of the Ising Financial Markets Model with Small World Topology |
| ZHANG Ang-Hui, LI Xiao-Wen, SU Gui-Feng, ZHANG Yi** |
| Department of Physics, Shanghai Normal University, Shanghai 200234 |
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ZHANG Ang-Hui, LI Xiao-Wen, SU Gui-Feng et al 2015 Chin. Phys. Lett. 32 090501 |
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Abstract We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors: broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.
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Received: 09 June 2015
Published: 02 October 2015
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| PACS: |
05.45.Tp
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(Time series analysis)
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05.45.Df
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(Fractals)
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89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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