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Quantum spatial-periodic harmonic model for daily price-limited stock markets

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  • Meng, Xiangyi
  • Zhang, Jian-Wei
  • Xu, Jingjing
  • Guo, Hong

Abstract

We investigate the behaviors of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is considered to be oscillating and damping in a quantum spatial-periodic harmonic oscillator potential well. A complicated non-linear relation including inter-band positive correlation and intra-band negative correlation between the volatility and trading volume of a stock is numerically derived with the energy band structure of the model concerned. The effectiveness of price limit is re-examined, with some observed characteristics of price-limited stock markets in China studied by applying our quantum model.

Suggested Citation

  • Meng, Xiangyi & Zhang, Jian-Wei & Xu, Jingjing & Guo, Hong, 2015. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 154-160.
    • Handle: RePEc:eee:phsmap:v:438:y:2015:i:c:p:154-160
    DOI: 10.1016/j.physa.2015.06.041
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    References listed on IDEAS

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    6. Meng, Xiangyi & Zhang, Jian-Wei & Guo, Hong, 2016. "Quantum Brownian motion model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 281-288.

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