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STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS.

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Title: STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS.
Authors: Wang, Tiansong1, Wang, Jun1 wangjun@bjtu.edu.cn, Fan, Bingli1
Source: International Journal of Modern Physics C: Computational Physics & Physical Computation. Oct2009, Vol. 20 Issue 10, p1547-1562. 16p. 1 Diagram, 6 Charts, 9 Graphs.
Subjects: Quantitative research, Statistical physics, Stock exchanges, Stochastic analysis, Stock prices, Mathematical models, Probability theory, Markov processes
Abstract: A new stochastic stock price model of stock markets based on the contact process of the statistical physics systems is presented in this paper, where the contact model is a continuous time Markov process, one interpretation of this model is as a model for the spread of an infection. Through this model, the statistical properties of Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) are studied. In the present paper, the data of SSE Composite Index and the data of SZSE Component Index are analyzed, and the corresponding simulation is made by the computer computation. Further, we investigate the statistical properties, fat-tail phenomena, the power-law distributions, and the long memory of returns for these indices. The techniques of skewness–kurtosis test, Kolmogorov–Smirnov test, and R/S analysis are applied to study the fluctuation characters of the stock price returns. [ABSTRACT FROM AUTHOR]
Copyright of International Journal of Modern Physics C: Computational Physics & Physical Computation is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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DbLabel: Engineering Source
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  Data: STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS.
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  Data: <searchLink fieldCode="AR" term="%22Wang%2C+Tiansong%22">Wang, Tiansong</searchLink><relatesTo>1</relatesTo><br /><searchLink fieldCode="AR" term="%22Wang%2C+Jun%22">Wang, Jun</searchLink><relatesTo>1</relatesTo><i> wangjun@bjtu.edu.cn</i><br /><searchLink fieldCode="AR" term="%22Fan%2C+Bingli%22">Fan, Bingli</searchLink><relatesTo>1</relatesTo>
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  Data: <searchLink fieldCode="DE" term="%22Quantitative+research%22">Quantitative research</searchLink><br /><searchLink fieldCode="DE" term="%22Statistical+physics%22">Statistical physics</searchLink><br /><searchLink fieldCode="DE" term="%22Stock+exchanges%22">Stock exchanges</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+analysis%22">Stochastic analysis</searchLink><br /><searchLink fieldCode="DE" term="%22Stock+prices%22">Stock prices</searchLink><br /><searchLink fieldCode="DE" term="%22Mathematical+models%22">Mathematical models</searchLink><br /><searchLink fieldCode="DE" term="%22Probability+theory%22">Probability theory</searchLink><br /><searchLink fieldCode="DE" term="%22Markov+processes%22">Markov processes</searchLink>
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  Data: A new stochastic stock price model of stock markets based on the contact process of the statistical physics systems is presented in this paper, where the contact model is a continuous time Markov process, one interpretation of this model is as a model for the spread of an infection. Through this model, the statistical properties of Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) are studied. In the present paper, the data of SSE Composite Index and the data of SZSE Component Index are analyzed, and the corresponding simulation is made by the computer computation. Further, we investigate the statistical properties, fat-tail phenomena, the power-law distributions, and the long memory of returns for these indices. The techniques of skewness–kurtosis test, Kolmogorov–Smirnov test, and R/S analysis are applied to study the fluctuation characters of the stock price returns. [ABSTRACT FROM AUTHOR]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of International Journal of Modern Physics C: Computational Physics & Physical Computation is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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RecordInfo BibRecord:
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    Identifiers:
      – Type: doi
        Value: 10.1142/S012918310901459X
    Languages:
      – Code: eng
        Text: English
    PhysicalDescription:
      Pagination:
        PageCount: 16
        StartPage: 1547
    Subjects:
      – SubjectFull: Quantitative research
        Type: general
      – SubjectFull: Statistical physics
        Type: general
      – SubjectFull: Stock exchanges
        Type: general
      – SubjectFull: Stochastic analysis
        Type: general
      – SubjectFull: Stock prices
        Type: general
      – SubjectFull: Mathematical models
        Type: general
      – SubjectFull: Probability theory
        Type: general
      – SubjectFull: Markov processes
        Type: general
    Titles:
      – TitleFull: STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS.
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            NameFull: Wang, Tiansong
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            NameFull: Wang, Jun
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            NameFull: Fan, Bingli
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            – D: 01
              M: 10
              Text: Oct2009
              Type: published
              Y: 2009
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              Value: 10
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            – TitleFull: International Journal of Modern Physics C: Computational Physics & Physical Computation
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