مقاله Voter interacting systems applied to Chinese stock markets : تی پی بین

خلاصه مقاله

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.

نویسندگان

Tiansong Wang [ Department of Mathematics, College of Science, Beijing Jiaotong University, Beijing 100044, PR China ]

Jun Wang [ Department of Mathematics, College of Science, Beijing Jiaotong University, Beijing 100044, PR China ]

Junhuan Zhang [ Department of Mathematics, College of Science, Beijing Jiaotong University, Beijing 100044, PR China ]

Wen Fang [ Department of Mathematics, College of Science, Beijing Jiaotong University, Beijing 100044, PR China ]

کلمات کلیدی

Stock price model Voter model Probability distribution Return Computer simulation

آدرس این مقاله

آدرس مستقیم دسترسی به این مقاله

مشخصات کنفرانس

مشاهده مقالات

Mathematics and Computers in Simulation

The aim of the journal is to provide an international forum for the dissemination of up-to-date information in the fields of the mathematics and computers, in particular (but not exclusively) as they apply to the dynamics of systems, their simulation and scientific computation in general. Published material ranges from short, concise research papers to more general tutorial articles.

حوزه های تحت پوشش : Mathematics and Computers