We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in time. Universal and non-universal behaviors of the...

We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may...

A dynamic feed-back interaction is introduced to the Eguiluz–Zimmermann model (Phys. Rev. Lett. 85 (2000) 5659). In application to financial dynamics, transmission of information at time t′ is supposed to depend on the variation of the financial index at t′-1. The generated time series is...

Payoffs which depend on the scores of the strategies are introduced into the standard Minority Game (MG). The double-periodicity behavior of the standard model is consequently removed, and stylized facts arise, such as long-range volatility correlations and “fat-tails” of the probability...

The short-time dynamics of the three-dimensional bond-diluted 4-state Potts model is investigated with Monte Carlo simulations. A recently suggested nonequilibrium reweighting method is applied, and the tricritical point is determined with the short-time dynamic approach. Based on the dynamic...

After filtering out the α and β peaks in the power spectrum of the human brain electroencephalogram signals Y(t′), the probability distribution of the variation ΔY(t′)≡Y(t′+Δt)-Y(t′) exhibits a dynamic scaling behavior. The auto-correlation functions, persistence probabilities and...

A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade. The price return is determined by the volume imbalance...

A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time t−1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and...