PhysRevE.84.066104.pdf (2.3 MB)
Emerging properties of financial time series in the “Game of Life”
journal contribution
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 ScalasWe 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.
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- Published
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- Published version
Journal
Physical Review EISSN
1539-3755Publisher
American Physical SocietyExternal DOI
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84Page range
066104Department affiliated with
- Mathematics Publications
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- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-24First Open Access (FOA) Date
2014-09-24First Compliant Deposit (FCD) Date
2014-09-24Usage metrics
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