Stylized Facts Generated Through Cellular Automata Models. Case of Study: The Game of Life

Abstract

In the present work, a geometrical method to generate a two dimensional random walk by means of a bidimensional Cellular Automaton is presented. We illustrate it by means of Conway's Game of Life with periodical borders, with a large lattice of 3000 x 3000 cells. The obtained random walk is of character anomalous, and its projection to a one dimensional random walk is analyzed, showing that it presents some statistical properties similar to the so-called stylized facts observed in financial time series. We consider that the procedure presented here is important not only because of its simplicity, but also because it could help us to understand and shed light on the stylized facts formation mechanism.