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篇目详细内容 |
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【篇名】 |
Progress in physical properties of Chinese stock markets |
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【刊名】 |
Frontiers of Physics |
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【刊名缩写】 |
Front. Phys |
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【ISSN】 |
2095-0462 |
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【EISSN】 |
2095-0470 |
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【DOI】 |
10.1007/s11467-013-0366-0 |
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【出版社】 |
Higher Education Press and Springer-Verlag Berlin
Heidelberg |
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【出版年】 |
2013 |
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【卷期】 |
8
卷4期 |
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【页码】 |
438-450
页,共
13
页 |
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【作者】 |
Yuan Liang梁;
源;
Guang Yang杨;
光;
Ji-;
Ping Huang黄;
吉;
平;
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【关键词】 |
econophysics; Chinese stock market; statistical method; statistical physics |
【摘要】 |
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In the past two decades, statistical physics was brought into the field of finance, applying new methods and concepts to financial time series and developing a new interdiscipline “econophysics”. In this review, we introduce several commonly used methods for stock time series in econophysics including distribution functions, correlation functions, detrended fluctuation analysis method, detrended moving average method, and multifractal analysis. Then based on these methods, we review some statistical properties of Chinese stock markets including scaling behavior, long-term correlations, cross-correlations, leverage effects, antileverage effects, and multifractality. Last, based on an agent-based model, we develop a new option pricing model — financial market model that shows a good agreement with the prices using real Shanghai Index data. This review is helpful for people to understand and research statistical physics of financial markets. |
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