Regularity Analysis of Bursting Phase of Financial Markets
Abstract Book of the XXIII IUPAP International Conference on Statistical Physics, Genova, Italy, (9-13 July 2007)Abstract
The inter-bursting interval in financial markets is analyzed in order to detect the regularity in financial markets. We divide time series of price increments into two groups such as laminar and bursting phases. By using the attractor reconstructed from singular time series via Taken's theorem, the nonlinearity and the determinism of inter-bursting intervals are closely examined. Assuming an extended integrate and fire model analogous to fractional Brown motion suggested by Mandelbrot, there is a one to one correspondence between the underlying system states and reconstructed inter-bursting interval vectors of a certain dimension. When compared to typical models driven by deterministic and stochastic processes, respectively, the inter-bursting interval of real financial markets is shown to exhibit features similar to stochastic processes.