Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Jinchuan Ke"'
Publikováno v:
Fractal and Fractional, Vol 7, Iss 3, p 267 (2023)
Technological innovation, the financial market, and the real economy are mutually promoting and restricting. Considering the interference of market-noise information, this paper applies the wavelet-denoising method of the soft- and hard-threshold com
Externí odkaz:
https://doaj.org/article/90f83bc180ab4f45be27ab136ac499f8
Publikováno v:
Entropy, Vol 24, Iss 7, p 969 (2022)
As a typical complex system, the stock market has attracted the attention of scholars and investors to comprehensively understand its fractal characteristics and analyze its market efficiency. Firstly, this paper proposes an asymmetric, detrended flu
Externí odkaz:
https://doaj.org/article/3cfbea46256f4db690b0585877c0359c
Publikováno v:
Entropy, Vol 21, Iss 10, p 1018 (2019)
A new concept named volatility monotonous persistence duration (VMPD) dynamics is introduced into the research of energy markets, in an attempt to describe nonlinear fluctuation behaviors from a new perspective. The VMPD sequence unites the maximum f
Externí odkaz:
https://doaj.org/article/ffff92c1775147c1b96b227195cfd4be
Publikováno v:
International Journal of Modern Physics C. 33
Based on the multi-color contact process and the oriented percolation, this paper develops a novel statistical physics financial price model with jumps to simulate and understand the price fluctuation characteristics in the real market. In this model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::930bbd88c14bc521a88763c49e30f9a8
https://doi.org/10.1142/s0129183122501170
https://doi.org/10.1142/s0129183122501170
Publikováno v:
Proceedings of the International Conference on Big Data Economy and Digital Management.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::93537a86e3cb962e8bd80b7c2c8b5d25
https://doi.org/10.5220/0011188300003440
https://doi.org/10.5220/0011188300003440
Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 514:370-383
The stochastic finite-range exclusion process, one of statistical physics systems, is introduced to construct a new agent-based financial price model to study the mechanism of market dynamics. A novel volatility aggregation intensity (VAI) time serie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::272a88816142268c5ce89b354c34795e
https://doi.org/10.1016/j.physa.2018.09.083
https://doi.org/10.1016/j.physa.2018.09.083
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bd43136596e619f046f50d8c10739fde
https://doi.org/10.2139/ssrn.3983064
https://doi.org/10.2139/ssrn.3983064
Publikováno v:
Sustainability, Vol 12, Iss 4908, p 4908 (2020)
Sustainability
Volume 12
Issue 12
Sustainability
Volume 12
Issue 12
In the context of the frequent occurrence of extreme events, measuring the tail dependence of financial time series is essential for maintaining the sustainable development of financial markets. In this paper, a multiscale quantile correlation coeffi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4f35f520e36e173fd1f65ed2d60544bd
https://www.mdpi.com/2071-1050/12/12/4908
https://www.mdpi.com/2071-1050/12/12/4908
Publikováno v:
Journal of Physics: Conference Series. 1995:012018
This paper explores the two-way risk spillover effect between fin-tech innovation and the real economy, applying the time-varying Copula-CoVaR method and quantitatively analyzing the two-way risk spillover effect and risk spillover asymmetry. The res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::704e8607af802898a34ba021ed173006
https://doi.org/10.1088/1742-6596/1995/1/012018
https://doi.org/10.1088/1742-6596/1995/1/012018
Autor:
Tian Lv, Jinchuan Ke
Publikováno v:
Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32a29caedc2d306f920894389f164509
https://doi.org/10.2991/ammsa-17.2017.18
https://doi.org/10.2991/ammsa-17.2017.18