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Abstract and Applied Analysis
Volume 2013, Article ID 612738, 12 pages
Research Article

Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System

Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, China

Received 13 June 2013; Revised 18 September 2013; Accepted 18 September 2013

Academic Editor: Luca Guerrini

Copyright © 2013 Anqi Pei and Jun Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


Fluctuation dynamics of financial price changes is developed and investigated by oriented percolation system; oriented percolation is percolation with a special direction along which the activity can only propagate one way but not the other. Then, nonlinear behaviors of distribution and leverage effect of return time series are studied for the proposed model and the real stock market by comparison. We also investigate the scaling behaviors of return intervals. And a scaling function of exponential parameter is introduced to analyze fluctuation behaviors of return intervals. The empirical research exhibits that, for proper parameters, the simulation data of the model can fit the real markets to a certain extent.