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

نویسندگان

  • JIGUANG SHAO
  • JUN WANG
چکیده

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 paths model are used to study the probability distribution for the chain reaction of stock indices, further we show the asymptotical behavior of probability measures of the fluctuations for the two stock indices model. In the last part, we discuss the convergence of the finite dimensional probability distributions for the financial model. Key–Words: Stock Index, Chain Reaction, Statistical Analysis, Fluctuation, Statistical Physics, Gibbs Probability Measure

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

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Measure the Fluctuation of the Stock Index According to Approximate Entropy and Standard Deviation

Abstract. The concept of entropy has been widely extended to other fields, including information theory and economic research. The economic financial sector of any country is the supplier of financial resources and real economic activities, which are divided into two parts: the money market and the capital market. In this paper, two criteria, approximate entropy and standard deviation have been...

متن کامل

Data Analysis and Statistical Behaviors of Stock Market Fluctuations

In this paper, the data of Chinese stock markets is analyzed by the statistical methods and computer sciences. The fluctuations of stock prices and trade volumes are investigated by the method of Zipf plot, where Zipf plot technique is frequently used in physics science. In the first part of the present paper, the data of stocks prices and trade volumes in Shanghai Stock Exchange and Shenzhen S...

متن کامل

Long-time fluctuations in a dynamical model of stock market indices.

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. Recent empirical studies of stock market indices examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Lévy-stable distribution L(alpha)(r) with some index 0<alpha< or =2. While the Lévy distribution cannot be expressed in a cl...

متن کامل

Forecasting Crude Oil Price and Stock Price by Jump Stochastic Time Effective Neural Network Model

The interacting impact between the crude oil prices and the stock market indices in China is investigated in the present paper, and the corresponding statistical behaviors are also analyzed. The database is based on the crude oil prices of Daqing and Shengli in the 7-year period from January 2003 to December 2009 and also on the indices of SHCI, SZCI, SZPI, and SINOPEC with the same time period...

متن کامل

Brain Activity Map Extraction from Multiple Sclerosis Patients Using Resting-State fMRI Data Based on Amplitude of Low Frequency Fluctuations and Regional Homogeneity Analysis

Introduction: Multiple Sclerosis (MS) is the most common non-traumatic neurological diseases of young adults. MS often reported during ages 20-62. MS affects the various anatomical parts of the central nervous system. Up to 65% of multiple sclerosis patients MS patients suffer from various problems, such as fatigue, depression, pain and sleep disorders. Unlike MRI, that only sh...

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

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

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2011