Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
| Autor: | Jun Wang, Jinchuan Ke, Linlu Jia |
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| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Volatility clustering Cross-correlation Multifractal system Condensed Matter Physics Finite range Multifractal detrended fluctuation analysis 01 natural sciences 010305 fluids & plasmas Nonlinear system 0103 physical sciences Econometrics Volatility (finance) 010306 general physics Futures contract Mathematics |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 514:370-383 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2018.09.083 |
| Popis: | 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 series, describing the fluctuation aggregation intensity of the volatility series, is developed for further investigating the nonlinear volatility behaviors in energy markets. For studying the proposed VAI series and the proposed price model, the New York Mercantile Exchange energy futures data is selected and analyzed. Further, cross-correlation analysis, auto-correlation analysis with multiscale, and multifractal detrended fluctuation analysis are applied to analyze the correlation, volatility-clustering and multifractal natures of the VAI time series. The empirical results show that the proposed model has the parallel behaviors with the authentic markets, indicating that it is rational and available. The new concept of VAI series is of great value and can enrich the study of volatility behaviors in energy markets to some extent. |
| Databáze: | OpenAIRE |
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