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Voter interacting systems applied to Chinese stock markets

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Title: Voter interacting systems applied to Chinese stock markets
Authors: Wang, Tiansong, Wang, Jun wangjun@bjtu.edu.cn, Zhang, Junhuan, Fang, Wen
Source: Mathematics & Computers in Simulation. Jul2011, Vol. 81 Issue 11, p2492-2506. 15p.
Subjects: Stock exchanges, Statistical physics, Distribution (Probability theory), Stock prices, Mathematical models, Computer simulation, Markov processes
Geographic Terms: China
Abstract: Abstract: Applying the theory of statistical physics systems – the voter model, a random stock price model is modeled and studied in this paper, where the voter model is a continuous time Markov process. In this price model, for the different parameters values of the intensity λ, the lattice dimension d, the initial density θ, and the multivariate set (θ, λ), we discuss and analyze the statistical behaviors of the price model. Moreover, we investigate the power-law distributions, the long-term memory of returns and the volatility clustering phenomena for the Chinese stock indices. The database is from the indices of Shanghai and Shenzhen in the 6-year period from July 2002 to June 2008. Further, the comparisons of the empirical research and the simulation data are given. [Copyright &y& Elsevier]
Copyright of Mathematics & Computers in Simulation is the property of Elsevier B.V. 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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Header DbId: egs
DbLabel: Engineering Source
An: 61488257
AccessLevel: 6
PubType: Periodical
PubTypeId: serialPeriodical
PreciseRelevancyScore: 0
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  Data: Voter interacting systems applied to Chinese stock markets
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  Data: <searchLink fieldCode="AR" term="%22Wang%2C+Tiansong%22">Wang, Tiansong</searchLink><br /><searchLink fieldCode="AR" term="%22Wang%2C+Jun%22">Wang, Jun</searchLink><i> wangjun@bjtu.edu.cn</i><br /><searchLink fieldCode="AR" term="%22Zhang%2C+Junhuan%22">Zhang, Junhuan</searchLink><br /><searchLink fieldCode="AR" term="%22Fang%2C+Wen%22">Fang, Wen</searchLink>
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  Data: <searchLink fieldCode="JN" term="%22Mathematics+%26+Computers+in+Simulation%22">Mathematics & Computers in Simulation</searchLink>. Jul2011, Vol. 81 Issue 11, p2492-2506. 15p.
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  Data: <searchLink fieldCode="DE" term="%22Stock+exchanges%22">Stock exchanges</searchLink><br /><searchLink fieldCode="DE" term="%22Statistical+physics%22">Statistical physics</searchLink><br /><searchLink fieldCode="DE" term="%22Distribution+%28Probability+theory%29%22">Distribution (Probability theory)</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="%22Computer+simulation%22">Computer simulation</searchLink><br /><searchLink fieldCode="DE" term="%22Markov+processes%22">Markov processes</searchLink>
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  Data: <searchLink fieldCode="DE" term="%22China%22">China</searchLink>
– Name: Abstract
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  Data: Abstract: Applying the theory of statistical physics systems – the voter model, a random stock price model is modeled and studied in this paper, where the voter model is a continuous time Markov process. In this price model, for the different parameters values of the intensity λ, the lattice dimension d, the initial density θ, and the multivariate set (θ, λ), we discuss and analyze the statistical behaviors of the price model. Moreover, we investigate the power-law distributions, the long-term memory of returns and the volatility clustering phenomena for the Chinese stock indices. The database is from the indices of Shanghai and Shenzhen in the 6-year period from July 2002 to June 2008. Further, the comparisons of the empirical research and the simulation data are given. [Copyright &y& Elsevier]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of Mathematics & Computers in Simulation is the property of Elsevier B.V. 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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      – Type: doi
        Value: 10.1016/j.matcom.2011.03.013
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      – Code: eng
        Text: English
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        PageCount: 15
        StartPage: 2492
    Subjects:
      – SubjectFull: Stock exchanges
        Type: general
      – SubjectFull: Statistical physics
        Type: general
      – SubjectFull: Distribution (Probability theory)
        Type: general
      – SubjectFull: Stock prices
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      – SubjectFull: Mathematical models
        Type: general
      – SubjectFull: Computer simulation
        Type: general
      – SubjectFull: Markov processes
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      – SubjectFull: China
        Type: general
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      – TitleFull: Voter interacting systems applied to Chinese stock markets
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            NameFull: Wang, Tiansong
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            NameFull: Wang, Jun
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            NameFull: Zhang, Junhuan
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            NameFull: Fang, Wen
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              M: 07
              Text: Jul2011
              Type: published
              Y: 2011
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