Fluctuations of stock price model by statistical physics systems

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Analysis of Chain Reaction Between Two Stock Indices Fluctuations by Statistical Physics Systems

In this paper, we consider the statistical properties of chain reaction of stock indices. The theory of interacting systems and statistical physics are applied to describe and study the fluctuations of two stock indices in a stock market, and the properties of the interacting reaction of the two indices are investigated in the present paper. In this work, stochastic analysis and the two random ...

متن کامل

A model for stock price fluctuations based on information

I present a new model for stock price fluctuations based on a concept of “information.” In contrast, the usual Black–Scholes–Merton–Samuelson model is based on the explicit assumption that information is uniformly held by everyone and plays no role in stock prices. The new model is based on the evident nonuniformity of information in the market and the evident time delay until new information b...

متن کامل

Multiresolution analysis of stock market price fluctuations

Abstract. – Recently, we have developed a method based on discrete wavelets to characterize the correlation and scaling properties of non-stationary time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The natural built-in variable windows in wavelet transform makes this procedure well suited for the non-stationary data. W...

متن کامل

Quantifying stock-price response to demand fluctuations.

We empirically address the question of how stock prices respond to changes in demand. We quantify the relations between price change G over a time interval Deltat and two different measures of demand fluctuations: (a) Phi, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) Omega, defined as the difference in number of shares traded in buyer- and...

متن کامل

Economic Fluctuations and Statistical Physics: The Puzzle of Large Fluctuations

We present an overview of recent research applying ideas of statistical physics to try to better understand puzzles regarding economic fluctuations. One of these puzzles is how to describe outliers, phenomena that lie outside of patterns of statistical regularity. We review evidence consistent with the possibility that such outliers may not exist. This possibility is supported by recent analysi...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Mathematical and Computer Modelling

سال: 2010

ISSN: 0895-7177

DOI: 10.1016/j.mcm.2009.12.003