Persistence Probabilities of the German DAX and Shanghai Index

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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• Statistical properties of volatility return intervals of Chinese stocks
• Multiscaling behavior in the volatility return intervals of Chinese indices
• Recurrence interval analysis of trading volumes
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• Persistence of an active asymmetric rigid Brownian particle in two dimensions
• Modeling interaction of trading volume in financial dynamics
• A statistical physics perspective on alignment-independent protein sequence comparison