Voter interacting systems applied to Chinese stock markets
Voter interacting systems applied to Chinese stock markets
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DOI：
10.1016/j.matcom.2011.03.013
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发表时间：
2011-07
期刊：
影响因子：
--
通讯作者：
Tiansong Wang;J. Wang;Junhuan Zhang;Wen Fang
中科院分区：
文献类型：
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作者：
Tiansong Wang;J. Wang;Junhuan Zhang;Wen Fang
本文应用统计物理系统理论--选民模型，对随机股票价格模型进行了建模和研究，其中选民模型是连续时间马尔科夫过程。在这个价格模型中，我们讨论和分析了强度λ、格维数、初始密度θ和多元集（θ，λ）等参数的不同取值下价格模型的统计行为.此外，我们还研究了中国股票指数收益率的幂律分布、长期记忆性和波动聚集现象。该数据库来自2002年7月至2008年6月的6年期间的上海和深圳指数。最后给出了实证研究结果与仿真数据的比较。
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 intensityλ, the lattice dimensiond, the initial densityθ, 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.