TY - JOUR
T1 - Emerging properties of financial time series in the "game of Life"
AU - Hernández-Montoya, A. R.
AU - Coronel-Brizio, H. F.
AU - Stevens-Ramírez, G. A.
AU - Rodríguez-Achach, M.
AU - Politi, M.
AU - Scalas, E.
PY - 2011/12/8
Y1 - 2011/12/8
N2 - We explore the spatial complexity of Conway's "Game of Life," a prototypical cellular automaton by means of a geometrical procedure generating a two-dimensional random walk from a bidimensional lattice with periodical boundaries. The one-dimensional projection of this process is analyzed and it turns out that some of its statistical properties resemble the so-called stylized facts observed in financial time series. The scope and meaning of this result are discussed from the viewpoint of complex systems. In particular, we stress how the supposed peculiarities of financial time series are, often, overrated in their importance.
AB - We explore the spatial complexity of Conway's "Game of Life," a prototypical cellular automaton by means of a geometrical procedure generating a two-dimensional random walk from a bidimensional lattice with periodical boundaries. The one-dimensional projection of this process is analyzed and it turns out that some of its statistical properties resemble the so-called stylized facts observed in financial time series. The scope and meaning of this result are discussed from the viewpoint of complex systems. In particular, we stress how the supposed peculiarities of financial time series are, often, overrated in their importance.
UR - http://www.scopus.com/inward/record.url?scp=84555189270&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.84.066104
DO - 10.1103/PhysRevE.84.066104
M3 - Article
SN - 1539-3755
VL - 84
JO - Physical Review E
JF - Physical Review E
IS - 6
M1 - 066104
ER -