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.

Emerging properties of financial time series in the “Game of Life” / HERNANDEZ MONTOYA, Ar; CORONEL BRIZIO, Hf; STEVENS RAMIREZ, Ga; RODRIGUEZ ACHACH, M; Politi, M; Scalas, Enrico. - In: PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS. - ISSN 1539-3755. - 84:6(2011), p. 066104. [10.1103/PhysRevE.84.066104]

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

SCALAS, Enrico
2011

Abstract

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.
2011
Structures and organization in complex systems; Fluctuation phenomena, random processes, noise, and Brownian motion; Economics; econophysics, financial markets, business and management
01 Pubblicazione su rivista::01a Articolo in rivista
Emerging properties of financial time series in the “Game of Life” / HERNANDEZ MONTOYA, Ar; CORONEL BRIZIO, Hf; STEVENS RAMIREZ, Ga; RODRIGUEZ ACHACH, M; Politi, M; Scalas, Enrico. - In: PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS. - ISSN 1539-3755. - 84:6(2011), p. 066104. [10.1103/PhysRevE.84.066104]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1667184
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