2 papers
q-fin.TR2008
Modeling interaction of trading volume in financial dynamics
F. Ren, B. Zheng, P. Chen
A dynamic herding model with interactions of trading volumes is introduced. At time , an agent trades with a probability, which depends on the ratio of the total trading volume…
nlin.AO2005
Persistence Probabilities of the German DAX and Shanghai Index
F. Ren, B. Zheng, H. Lin +2
We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probabili…