Pattern of trends in stock markets as revealed by the renormalization method

H.S. Zhang, X.Y. Shen and J.P. Huang

Physica A: Statistical Mechanics and its Applications, 2016, vol. 456, issue C, 340-346

Abstract: Predicting the movement of prices is a challenging topic in financial markets. So far, many investigations have been performed to help understand the dynamics of stock prices. In this work, we utilize the renormalization method to analyze the scaling and pattern of stock price trends. According to the analysis of length and changing velocity of the price trends, we find that there exist asymmetric phenomena of the trends in American stock market. In addition, a stronger Herd behavior is also discovered in the Chinese stock market. Since the Chinese (American) stock market is a representative of emerging (mature) market, the study on comparing the markets between these two countries is of potential value, which can leave us a wiser about both the pattern of the markets and the underlying physical mechanisms.

Keywords: Stock price dynamics; Herd behavior; Renormalization method; Econophysics (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:456:y:2016:i:c:p:340-346

DOI: 10.1016/j.physa.2016.03.028

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