FINITE-RANGE CONTACT PROCESS ON THE MARKET RETURN INTERVALS DISTRIBUTIONS

Junhuan Zhang, Jun Wang () and Jiguang Shao
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Junhuan Zhang: Institute of Financial Mathematics and Financial Engineering, College of Science, Beijing Jiaotong University, Beijing 100044, China
Jun Wang: Institute of Financial Mathematics and Financial Engineering, College of Science, Beijing Jiaotong University, Beijing 100044, China
Jiguang Shao: Institute of Financial Mathematics and Financial Engineering, College of Science, Beijing Jiaotong University, Beijing 100044, China

Advances in Complex Systems (ACS), 2010, vol. 13, issue 05, 643-657

Abstract: Stochastic system is applied to describe and investigate the fluctuations of stock price changes in a stock market, and a stock price model is developed by the finite-range contact process of the statistical physics systems. In this paper, the scaling behaviors of the return intervals for SSE Composite Index (SSE) and the simulation data of the model are investigated and compared. The database is from the index of SSE in the 6-year period for every 5 minutes, and the simulation data is from the finite-range contact model for different values of the rangeR. For different values of threshold θ, the statistical analysis shows that the probability density functionPθ(τ)of the return intervals τ for both SSE and the simulation data have similar scaling form, that is$P_{\theta}(\tau) = {\bar{\tau}}^{-1}h(\tau\/\bar{\tau})$($\bar{\tau}$is the mean return interval), where the scaling functionh(x)can be approximately fitted by the functionh(x) = ωe-a(ln x)γ, and ω,a, γ are three parameters. Further, with different values ofRand θ, the statistical comparison of SSE Composite Index and simulation data are given.

Keywords: Statistical physics; stock price; finite range contact process; probability density function; return; return intervals (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1142/S0219525910002797

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