期刊
BOUNDARY VALUE PROBLEMS
卷 -, 期 -, 页码 1-17出版社
SPRINGER
DOI: 10.1186/1687-2770-2012-9
关键词
stochastic Ising-like spin model; boundary condition; financial time series; statistical analysis; stock market
资金
- National Natural Science Foundation of China [70771006, 10971010]
- Fundamental Research Funds for the Central Universities [2011YJS077]
- BJTU Foundation [S11M00010]
- Institute of Financial Mathematics and Financial Engineering in BJTU
Price formation in financial markets based on the 2D stochastic Ising-like spin model is proposed, with a randomized inverse temperature of each trading day. The statistical behaviors of returns of this financial model are investigated for zero boundary condition and five different classes of mixed boundary conditions. For comparison with actual financial markets, we also analyze the statistical properties of Shanghai Stock Exchange (SSE) composite Index, Shenzhen Stock Exchange (SZSE) component Index and Hushen 300 Index. Fluctuation properties, fat-tail phenomena, power-law distributions and fractal behaviors of returns for these indexes and the simulative data are studied. With the plus boundary condition, for example the boundary condition A (6), the value of market depth parameter A is smaller than those of the corresponding market depth parameters A with zero boundary condition A (1) and weak mixed boundary conditions A (2) and A (3). And the changing range of tails exponents of boundary condition A (6) is much smaller than those of the other five boundary conditions.
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