Designing a Model to Investigate the Process of Forming Cluster Fluctuations according to the Fractal Structure in Financial Markets

Advances in Mathematical Finance and Applications

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 10 تیر 1402

نوع مقاله: َApplied-Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2023.1973569.1830

نویسندگان

Amin Amini Bashirzadeh¹؛ Shahrokh Bozorgmehrian²؛ Bahareh Banitalebi Dehkordi^{* 3}

¹Department of Accounting, Shahrekord Branch, Islamic Azad University, Shahrekord, Iran .

²b Department of Accounting, Science and Research Branch, Islamic Azad University, Tehran, Iran.

³Department of Accounting, Shahrekord branch, Islamic Azad University, Shahrekord, Iran

چکیده

Cluster fluctuations and fractal structures are important features of space-time correlation in complex financial systems. In the current research, by using factor-based model design and consider-ing a new interactive mechanism called multi-level clustering, the formation pro-cess of cluster fluctuations was investigated with regard to the fractal structure of financial markets. For this purpose, the daily information of the final price of 150 shares accepted in the Tehran Stock Exchange after the final screening, in 5 sec-tions with 30 shares in each section, was entered into the desired model, and their mass was measured in three levels of stock, sector and market. Checked out. Due to the fact that some investors have a longer investment horizon in the stock mar-ket and due to the limitation of the investigated time period, the maximum invest-ment horizon of 1000 days has been determined in the model. In addition, the data studied in the research model are from August 2012 to September 2018. The findings of the research showed that the intensity of the tendency of collective behavior at the sector level is much stronger than at the market level. In addition, based on the findings of the research, it was determined that the distribution of simulation eigenvalues in three levels is significantly similar to the distribution of real data. Also, according to the investor's time horizon, the studied series always has a long-term memory for fluctuations. In addition, it was found that long-term memory is directly related to fractal dimensions.

کلیدواژه‌ها

Factor-Based Modeling؛ Multi-level Multivariate Clustering؛ Cluster Volatility؛ Fractal Structure of the Market