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Emerging properties of financial time series in the “Game of Life”

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posted on 2023-06-08, 18:24 authored by A R Hernández-Montoya, H F Coronel-Brizio, G A Stevens-Ramírez, M Rodríguez-Achach, M Politi, Enrico Scalas
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Physical Review E

ISSN

1539-3755

Publisher

American Physical Society

Volume

84

Page range

066104

Department affiliated with

  • Mathematics Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-24

First Open Access (FOA) Date

2014-09-24

First Compliant Deposit (FCD) Date

2014-09-24

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