JOURNAL OF COMPUTERS (JCP)
ISSN : 1796-203X
Volume : 3    Issue : 12    Date : December 2008

Statistical Analysis and Data Analysis of Stock Market by Interacting Particle Models
Jun Wang, Bingli Fan, and Tiansong Wang
Page(s): 11-18
Full Text:
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Abstract
The statistical analysis of Chinese stock market fluctuations modeled by the interacting particle
systems has been done in this paper. The contact model and voter model of the interacting particle
systems are presented in this paper, where they are the continuous time Markov processes. One
interpretation of contact model is as a model for the spread of an infection. One interpretation of
voter model is, an individual reassesses his view by choosing a neighbor at random with certain
probabilities and then adopting his position. In the first part of this paper, based on the contact
process, a new stochastic stock price model of stock markets is modeled. From it, the statistical
properties of Shenzhen Composite Index are studied. The data of Shenzhen Stock Exchange
(SZSE) Composite Index is analyzed, and the corresponding simulation is made by the computer
computation, and we further investigate the statistical properties, fat tails phenomena and the
power-law distributions of returns. The methods of Skewness-Kurtosis test, Kolmogorov-Smirnov
test are applied to study the fluctuation behavior of the returns for the stock price and Index. In the
second part of this paper, based on the voter model, we study the statistical properties of prices
changes for the different dimensions, intensity of the model and initial density θ.

Index Terms
data analysis, contact model, voter model, statistical properties, computer simulation, market
fluctuation, prices changes