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

School of Science, Beijing Jiaotong University, Beijing 100044, China
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Entropy 2017, 19(10), 512; https://doi.org/10.3390/e19100512
Received: 27 July 2017 / Revised: 8 September 2017 / Accepted: 21 September 2017 / Published: 23 September 2017
(This article belongs to the Special Issue Complex Systems, Non-Equilibrium Dynamics and Self-Organisation)
This paper investigates the complex behaviors and entropy properties for a novel random complex interacting stock price dynamics, which is established by the combination of stochastic contact process and compound Poisson process, concerning with stock return fluctuations caused by the spread of investors’ attitudes and random jump fluctuations caused by the macroeconomic environment, respectively. To better understand the fluctuation complex behaviors of the proposed price dynamics, the entropy analyses of random logarithmic price returns and corresponding absolute returns of simulation dataset with different parameter set are preformed, including permutation entropy, fractional permutation entropy, sample entropy and fractional sample entropy. We found that a larger λ or γ leads to more complex dynamics, and the absolute return series exhibit lower complex dynamics than the return series. To verify the rationality of the proposed compound price model, the corresponding analyses of actual market datasets are also comparatively preformed. The empirical results verify that the proposed price model can reproduce some important complex dynamics of actual stock markets to some extent. View Full-Text
Keywords: complex and entropy; complex price dynamics model; contact process; compound Poisson process; permutation entropy; fractional permutation entropy; sample entropy; fractional sample entropy complex and entropy; complex price dynamics model; contact process; compound Poisson process; permutation entropy; fractional permutation entropy; sample entropy; fractional sample entropy
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Wang, Y.; Zheng, S.; Zhang, W.; Wang, J. Complex and Entropy of Fluctuations of Agent-Based Interacting Financial Dynamics with Random Jump. Entropy 2017, 19, 512.

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