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Entropy and Recurrence Measures of a Financial Dynamic System by an Interacting Voter System

Department of Mathematics, Beijing Jiaotong University, Beijing 100044, China
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Academic Editor: Kevin H. Knuth
Entropy 2015, 17(5), 2590-2605; https://doi.org/10.3390/e17052590
Received: 25 January 2015 / Revised: 13 April 2015 / Accepted: 20 April 2015 / Published: 23 April 2015
A financial time series agent-based model is reproduced and investigated by the statistical physics system, the finite-range interacting voter system. The voter system originally describes the collective behavior of voters who constantly update their positions on a particular topic, which is a continuous-time Markov process. In the proposed model, the fluctuations of stock price changes are attributed to the market information interaction amongst the traders and certain similarities of investors’ behaviors. Further, the complexity of return series of the financial model is studied in comparison with two real stock indexes, the Shanghai Stock Exchange Composite Index and the Hang Seng Index, by composite multiscale entropy analysis and recurrence analysis. The empirical research shows that the simulation data for the proposed model could grasp some natural features of actual markets to some extent. View Full-Text
Keywords: financial time series agent-based model; interacting voter system; complexity analysis; multiscaled entropy; recurrence analysis; computer simulation financial time series agent-based model; interacting voter system; complexity analysis; multiscaled entropy; recurrence analysis; computer simulation
MDPI and ACS Style

Niu, H.-L.; Wang, J. Entropy and Recurrence Measures of a Financial Dynamic System by an Interacting Voter System. Entropy 2015, 17, 2590-2605.

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