Data Analysis and Statistical Behaviors of Stock Market Fluctuations
Data Analysis and Statistical Behaviors of Stock Market Fluctuations
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DOI：
10.4304/jcp.3.10.44-49
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发表时间：
2008-01
期刊：
影响因子：
--
通讯作者：
Jui-Pin Wang;Bingli Fan;Dongping Men
中科院分区：
文献类型：
--
作者：
Jui-Pin Wang;Bingli Fan;Dongping Men
本文运用统计学方法和计算机科学对我国股票市场的数据进行了分析。股票价格和交易量的波动是用Zipf图的方法来研究的，Zipf图技术是物理科学中常用的方法。本文第一部分对上海证券交易所和深圳证券交易所的股票价格和交易量数据进行了分析，研究了股票价格和交易量的统计行为。我们选取了2002-2006年中国股市的日数据，通过对数据的分析，我们讨论了厚尾现象的统计特性，以及日股价和成交量的幂函数分布。在第二部分中，我们考察了2002-2007年上证指数和深证指数的肥尾现象和幂分布，并将这两个指数的分布与相应的Zipf图的分布进行了比较。
In this paper, the data of Chinese stock markets is analyzed by the statistical methods and computer sciences. The fluctuations of stock prices and trade volumes are investigated by the method of Zipf plot, where Zipf plot technique is frequently used in physics science. In the first part of the present paper, the data of stocks prices and trade volumes in Shanghai Stock Exchange and Shenzhen Stock Exchange is analyzed, the statistical behaviors of stocks prices and trade volumes are studied. We select the daily data for Chinese stock markets during the years 2002-2006, by analyzing the data, we discuss the statistical properties of fat tails phenomena and the power law distributions for the daily stocks prices and trade volumes. In the second part, we consider the fat ails phenomena and the power law distributions of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index during the years 2002-2007, and we also compare the distributions of these two indices with the corresponding distributions of the Zipf plot.