statistical behavior of a financial model by lattice fractal sierpinski carpet percolation统计行为金融模型的网格分形渗流sierpinski地毯.pdfVIP

Hindawi Publishing Corporation Journal of Applied Mathematics Volume 2012, Article ID 735068, 12 pages doi:10.1155/2012/735068 Research Article Statistical Behavior of a Financial Model by Lattice Fractal Sierpinski Carpet Percolation Xu Wang and Jun Wang Department of Mathematics, Key Laboratory of Communication and Information System, Beijing Jiaotong University, Beijing 100044, China Correspondence should be addressed to Jun Wang, wangjunbjtu@ Received 5 September 2011; Accepted 10 November 2011 Academic Editor: Chein-Shan Liu Copyright q 2012 X. Wang and J. Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The lattice fractal Sierpinski carpet and the percolation theory are applied to develop a new random stock price for the financial market. Percolation theory is usually used to describe the behavior of connected clusters in a random graph, and Sierpinski carpet is an infinitely ramified fractal. In this paper, we consider percolation on the Sierpinski carpet lattice, and the corresponding financial price model is given and investigated. Then, we analyze the statistical behaviors of the Hong Kong Hang Seng Index and the simulative data derived from the financial model by comparison. 1. Introduction Financial fluctuation system is one of complex systems, and the statistical behavior of fluctuation of stock price changes has long been a focus of financial research. With the flourishing research of complex systems, it becomes more and more attractive to find universal rules