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

Hernández-Montoya, A R, Coronel-Brizio, H F, Stevens-Ramírez, G A, Rodríguez-Achach, M, Politi, M and Scalas, E (2011) Emerging properties of financial time series in the “Game of Life”. Physical Review E, 84. 066104. ISSN 1539-3755

PDF - Published Version
Download (2MB) | Preview


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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Q Science > QA Mathematics > QA0075 Electronic computers. Computer science
Depositing User: Enrico Scalas
Date Deposited: 24 Sep 2014 06:12
Last Modified: 11 Mar 2017 19:39
URI: http://srodev.sussex.ac.uk/id/eprint/50244

View download statistics for this item

📧 Request an update