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Statistical Analysis By Statistical Physics Model For The Stock Markets

Author

Listed:
  • 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)

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.

Suggested Citation

  • Tiansong Wang & Jun Wang & Bingli Fan, 2009. "Statistical Analysis By Statistical Physics Model For The Stock Markets," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 20(10), pages 1547-1562.
    • Handle: RePEc:wsi:ijmpcx:v:20:y:2009:i:10:n:s012918310901459x
    DOI: 10.1142/S012918310901459X
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    References listed on IDEAS

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    1. A. W. Kemp, 2007. "Computer-Intensive Methods of Data Analysis in Biology edited by D. A. Roff. Randomization, Bootstrap, and Monte Carlo Methods in Biology (3rd edition) edited by B. F. J. Manly," Biometrics, The International Biometric Society, vol. 63(2), pages 625-626, June.
    2. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
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