Algorithm for computing time correlation functions in non-stationary complex dynamic systems

doi:10.1088/1674-1056/adb8bd

中国物理B ›› 2025, Vol. 34 ›› Issue (3): 38904-038904.doi: 10.1088/1674-1056/adb8bd

所属专题： SPECIAL TOPIC — Computational programs in complex systems

Algorithm for computing time correlation functions in non-stationary complex dynamic systems

Jiu Zhang(张鹫)¹, Lifu Jin(金立孚)², Bo Zheng(郑波)^3,†, Xiongfei Jiang(蒋雄飞)⁴, Tingting Chen(陈婷婷)⁵, Cong Xu(徐匆)^1,‡, and Yanqing Hu(胡延庆)¹

1 Department of Statistics and Data Science, Southern University of Science and Technology, Shenzhen 518055, China;
2 School of Economics and Management, Wenzhou University of Technology, Wenzhou 325035, China;
3 School of Physics and Astronomy, Yunnan University, Kunming 650091, China;
4 College of Finance and Information, Ningbo University of Finance and Economics, Ningbo 315175, China;
5 School of Finance, Zhejiang University of Finance and Economics, Hangzhou 310000, China

收稿日期:2024-12-27 修回日期:2025-02-17 接受日期:2025-02-21 发布日期:2025-03-15
通讯作者: Bo Zheng, Cong Xu E-mail:zhengbo@zju.edu.cn;xuc6@sustech.edu.cn
基金资助:
Project supported by the Postdoctoral Fellowship Program of China Postdoctoral Science Foundation (Grant No. GZC20231050), the National Natural Science Foundation of China (Grant Nos. 12175193 and 11905183), and the 13th Five-year plan for Education Science Funding of Guangdong Province (Grant No. 2021GXJK349).

Algorithm for computing time correlation functions in non-stationary complex dynamic systems

Jiu Zhang(张鹫)¹, Lifu Jin(金立孚)², Bo Zheng(郑波)^3,†, Xiongfei Jiang(蒋雄飞)⁴, Tingting Chen(陈婷婷)⁵, Cong Xu(徐匆)^1,‡, and Yanqing Hu(胡延庆)¹

1 Department of Statistics and Data Science, Southern University of Science and Technology, Shenzhen 518055, China;
2 School of Economics and Management, Wenzhou University of Technology, Wenzhou 325035, China;
3 School of Physics and Astronomy, Yunnan University, Kunming 650091, China;
4 College of Finance and Information, Ningbo University of Finance and Economics, Ningbo 315175, China;
5 School of Finance, Zhejiang University of Finance and Economics, Hangzhou 310000, China

Received:2024-12-27 Revised:2025-02-17 Accepted:2025-02-21 Published:2025-03-15
Contact: Bo Zheng, Cong Xu E-mail:zhengbo@zju.edu.cn;xuc6@sustech.edu.cn
Supported by:
Project supported by the Postdoctoral Fellowship Program of China Postdoctoral Science Foundation (Grant No. GZC20231050), the National Natural Science Foundation of China (Grant Nos. 12175193 and 11905183), and the 13th Five-year plan for Education Science Funding of Guangdong Province (Grant No. 2021GXJK349).

摘要/Abstract

摘要： For non-stationary complex dynamic systems, a standardized algorithm is developed to compute time correlation functions, addressing the limitations of traditional methods reliant on the stationary assumption. The proposed algorithm integrates two-point and multi-point time correlation functions into a unified framework. Further, it is verified by a practical application in complex financial systems, demonstrating its potential in various complex dynamic systems.

关键词: complex dynamic systems, non-stationary states, time correlation functions

Abstract: For non-stationary complex dynamic systems, a standardized algorithm is developed to compute time correlation functions, addressing the limitations of traditional methods reliant on the stationary assumption. The proposed algorithm integrates two-point and multi-point time correlation functions into a unified framework. Further, it is verified by a practical application in complex financial systems, demonstrating its potential in various complex dynamic systems.

Key words: complex dynamic systems, non-stationary states, time correlation functions

中图分类号: (Complex systems)

89.75.-k

89.65.Gh (Economics; econophysics, financial markets, business and management) 05.45.Tp (Time series analysis) 05.10.-a (Computational methods in statistical physics and nonlinear dynamics)

Jiu Zhang(张鹫), Lifu Jin(金立孚), Bo Zheng(郑波), Xiongfei Jiang(蒋雄飞), Tingting Chen(陈婷婷), Cong Xu(徐匆), and Yanqing Hu(胡延庆). Algorithm for computing time correlation functions in non-stationary complex dynamic systems[J]. 中国物理B, 2025, 34(3): 38904-038904.

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Algorithm for computing time correlation functions in non-stationary complex dynamic systems

Algorithm for computing time correlation functions in non-stationary complex dynamic systems

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