STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS

Tiansong Wang, Jun Wang () and Bingli Fan
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Tiansong Wang: College of Science, Beijing Jiaotong University, Beijing 100044, P. R. China
Jun Wang: College of Science, Beijing Jiaotong University, Beijing 100044, P. R. China
Bingli Fan: College of Science, Beijing Jiaotong University, Beijing 100044, P. R. China

International Journal of Modern Physics C (IJMPC), 2009, vol. 20, issue 10, 1547-1562

Abstract: A new stochastic stock price model of stock markets based on the contact process of the statistical physics systems is presented in this paper, where the contact model is a continuous time Markov process, one interpretation of this model is as a model for the spread of an infection. Through this model, the statistical properties of Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) are studied. In the present paper, the data of SSE Composite Index and the data of SZSE Component Index are analyzed, and the corresponding simulation is made by the computer computation. Further, we investigate the statistical properties, fat-tail phenomena, the power-law distributions, and the long memory of returns for these indices. The techniques of skewness–kurtosis test, Kolmogorov–Smirnov test, and R/S analysis are applied to study the fluctuation characters of the stock price returns.

Keywords: Statistical physics; stock prices; contact model; probability distribution; returns (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1142/S012918310901459X

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