JOURNAL OF COMPUTERS (JCP)
ISSN : 1796-203X
Volume : 3    Issue : 10    Date : October 2008

Data Analysis and Statistical Behaviors of Stock Market Fluctuations
Jun Wang, Bingli Fan, and Dongping Men
Page(s): 44-49
Full Text:
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Abstract
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 Stock Exchange is analyzed, the statistical behaviors of stocks prices and trade volumes
are studied. We select the daily data for Chinese stock markets during the years 2002-2006, by
analyzing the data, we discuss the statistical properties of fat tails phenomena and the power law
distributions for the daily stocks prices and trade volumes. In the second part, we consider the fat
ails phenomena and the power law distributions of Shanghai Stock Exchange Index and Shenzhen
Stock Exchange Index during the years 2002-2007, and we also compare the distributions of these
two indices with the corresponding distributions of the Zipf plot.

Index Terms
data analysis, statistical methods, Zipf method, statistical properties, computer simulation, market
fluctuation