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Persistence probabilities of the German DAX and Shanghai Index |
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| Authors: | F. Ren B. Zheng H. Lin L.Y. Wen S. Trimper |
| Affiliation: | aZhejiang University, Zhejiang Institute of Modern Physics, Hangzhou 310027, PR China bFachbereich Physik, Martin-Luther-Universität-Halle, D-06099 Halle, Germany |
| Abstract: | We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations nonlocal in time. Universal and non-universal behaviors of the German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point z0=0, the interacting herding model produces the scaling behavior of the real markets. |
| Keywords: | Nonequilibrium kinetics Financial dynamics Critical dynamics |
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