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Persistence Probabilities of the German DAX and Shanghai Index

F. Ren·B. Zheng·H. Lin·L. Y. Wen·S. Trimper
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Abstract

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 German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point $z_0=0$, the interacting herding model produces the scaling behavior of the real markets.

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F. Ren, B. Zheng, H. Lin, L. Y. Wen, S. Trimper. 2005-11-23. Persistence Probabilities of the German DAX and Shanghai Index. https://doi.org/10.1016/j.physa.2004.11.054

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