Simulating financial markets indexes with generalized WMF model

• 발행기관: 한국유통과학회
• 저자명: Li Zhang
• 간행물 정보: 『한국유통과학회 학술대회 논문집』2013년 동계 국제학술대회, 287~292쪽, 전체 6쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2013.12.11

영문 초록

It is diffiult to simulate the dynamical behaviour of actual fiancial markets indexes effctively, especially when they have nonlinear characteristics. So to propose a mathematical model with these characteristics is important. In this paper, we investigate a generalized Weierstrass-Mandelbrot function (WMF) model with two nonlinear characteristics: fractal dimension 2 > D > 1.5 and hurstexponent (H) where 1 > H > 0.5 firstly. And then we study its dynamical behaviour as D and H change in 3-dimensional space. Basing on these results, we simulate diffrent stocks markets indexes such as Daily Dow Johns index and Daily S&P 500 index. Using the fiting line method in 2-dimensional space for the simulated values and diffrent actual stock markets indexes, we fi d that the generalized WMF model is effctive for simulating diff rent actual stock markets indexes in diffrent time ranges. It may be useful for understanding the dynamical behaviour of many di ffrent fiancial markets.

목차

Abstract

1. Introduction

2. The WMF model

3. Simulations and results

4. Discussions and Conclusions

5. Acknowledgments and Fundings

References

키워드

Weierstrass-Mandelbrot function Hurst exponent Fractal Financial markets