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JCP
2008

Statistical Analysis and Data Analysis of Stock Market by Interacting Particle Models

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Statistical Analysis and Data Analysis of Stock Market by Interacting Particle Models
The statistical analysis of Chinese stock market fluctuations modeled by the interacting particle systems has been done in this paper. The contact model and voter model of the interacting particle systems are presented in this paper, where they are the continuous time Markov processes. One interpretation of contact model is as a model for the spread of an infection. One interpretation of voter model is, an individual reassesses his view by choosing a neighbor at random with certain probabilities and then adopting his position. In the first part of this paper, based on the contact process, a new stochastic stock price model of stock markets is modeled. From it, the statistical properties of Shenzhen Composite Index are studied. The data of Shenzhen Stock Exchange (SZSE) Composite Index is analyzed, and the corresponding simulation is made by the computer computation, and we further investigate the statistical properties, fat tails phenomena and the power-law distributions of returns. Th...
Jun Wang, Bingli Fan, Tiansong Wang
Added 13 Dec 2010
Updated 13 Dec 2010
Type Journal
Year 2008
Where JCP
Authors Jun Wang, Bingli Fan, Tiansong Wang
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