Emerging properties of financial time series in the "game of Life"

A. R. Hernández-Montoya, H. F. Coronel-Brizio, G. A. Stevens-Ramírez, M. Rodríguez-Achach, M. Politi, E. Scalas

Risultato della ricerca: Contributo su rivistaArticolo in rivistapeer review

Abstract

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.

Lingua originaleInglese
Numero di articolo066104
RivistaPhysical Review E
Volume84
Numero di pubblicazione6
DOI
Stato di pubblicazionePubblicato - 8 dic 2011
Pubblicato esternamente

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