Simulation and Statistical Analysis of Market Return Fluctuationby Zipf Method
Simulation and Statistical Analysis of Market Return Fluctuationby Zipf Method
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DOI：
10.1155/2011/253523
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发表时间：
2011-03
影响因子：
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通讯作者：
Yalong Guo;Jun Wang
中科院分区：
文献类型：
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作者：
Yalong Guo;Jun Wang
本文运用Zipf分析方法研究了金融类股票市场的波动行为。本文通过实证研究，描述了全球股票指数的股价收益的集合和特征，并给出了相应的Zipf分布。首先，我们用（𝑚，𝑘）-Zipf方法研究了全球股票市场的波动行为。然后考虑一个动态股票价格模型，分析了该金融模型的绝对频率和相对频率。进一步研究了上证综合指数在不同时间尺度下收益的Zipf分布。
We investigate the fluctuation behaviors of financial stock markets by Zipf analysis. In the present paper, the empirical research is made to describe ensembles and specifics of stock price returns for global stock indices, and the corresponding Zipf distributions are given. First we study the fluctuation behavior of global stock markets by (𝑚,𝑘)-Zipf method. Then we consider a dynamic stock price model, and we analyze the absolute frequencies and the relative frequencies for this financial model. Further, the Zipf distributions of returns for SSE Composite Index are studied for different time scales.