Multivariate Financial Dynamics Price Model And Statistical Analysis

With the acceleration of global economic integration,the market economic system is constantly being refined.To promote economic development,various economies have to innovate at an increasingly fast rate.As a result,new financial services products and derivatives are emerging in an endless stream.The research on the law of the financial market and the statistical nature of the market is very important.It's also one of the hot topics in financial mathematics.The construction of financial model is one of the most effective methods to study the mechanism of price fluctuation in financial market,so the Econophysics appeared.Econophysics is also one of the hot spots in the research field of financial model,which applies model theory in the interaction system of physics to the construction of financial model.Stauffer and Tanaka have applied the percolation theory in the statistical physical model to study the volatility of the stock price.In this paper,we improve the continuum percolation model and construct the multiscale-continuum percolation financial system.Based on the multiscale-continuum percolation financial medel,we study the price formation mechanism and volatility process.We simulate the model under different parameters by Matlab,and compare the price sequence and the real data with different parameters.At the same time,we use some classic fractal theory research methods,such as MF-DFA to study the properties of actual and simulated data in multiple types and long memory.We also use the multi-scale entropy method to study the complexity of different sequences,and study the complexity of the relationship between different sequences using interactive entropy method.In this paper,in order to verify the reasonableness of multiscale-continuum perco-lation financial system,a detailed comparative analysis are carried out between SSE,SZSE and simulated data.