Ordered phase and non-equilibrium fluctuation in stock market

Jun-ichi Maskawa

Physica A: Statistical Mechanics and its Applications, 2002, vol. 311, issue 3, 563-570

Abstract: We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences of up and down spins, and the Hamiltonian of the system is expressed by spin–spin interactions as in spin glass models of disordered magnetic systems. Through the analysis of Dow–Jones industrial portfolio consisting of 30 stock issues by this model, we find a non-equilibrium fluctuation mode on the point slightly below the boundary between ordered and disordered phases. The remaining 29 modes are still in disordered phase and well described by Gibbs distribution. The variance of the fluctuation is outlined by the theoretical curve and peculiarly large in the non-equilibrium mode compared with those in the other modes remaining in ordinary phase.

Keywords: Stock market; Price fluctuation; Spin glass model (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:311:y:2002:i:3:p:563-570

DOI: 10.1016/S0378-4371(02)00818-X

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