ar X iv : n lin / 0 51 10 48 v 1 [ nl in . A O ] 2 3 N ov 2 00 5 Persistence Probabilities of the German DAX and Shanghai Index

نویسندگان

  • F. Ren
  • B. Zheng
  • H. Lin
  • L. Y. Wen
  • S. Trimper
چکیده

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 non-local 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.

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تاریخ انتشار 2005