Volatility behavior of visibility graph EMD financial time series from Ising interacting system

Physica A: Statistical Mechanics and its Applications

Volumn 432, Issue , 2015, Pages 301-314

  Zhang, Bo ^a   Wang, Jun ^a   Fang, Wen ^a  

^a BEIJING JIAOTONG UNIVERSITY   (China)

Author keywords

Empirical mode decomposition; Financial time series model; Horizontal visibility graph; Ising system; Stochastic; Visibility graph; Volatility analysis

Indexed keywords

COMMERCE; FINANCIAL DATA PROCESSING; FINANCIAL MARKETS; GRAPH THEORY; GRAPHIC METHODS; ISING MODEL; MIXER CIRCUITS; SIGNAL PROCESSING; STATISTICAL PHYSICS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; TIME SERIES; VISIBILITY;

EMPIRICAL MODE DECOMPOSITION; FINANCIAL TIME SERIES; HORIZONTAL VISIBILITY GRAPHS; ISING SYSTEMS; STOCHASTIC; VISIBILITY GRAPHS; VOLATILITY ANALYSIS;

TIME SERIES ANALYSIS;

EID: 84927157235     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2015.03.057     Document Type: Article

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