Simple Mathematical Model for Financial Market Structure Analysis

摘要：

This paper has developed a simple model, analogous Zipf analysis based on Zipf analysis to analyze the price behaviors of Chinese Stock Market. With the help of analogous Zipf analysis, we have observed phase transitions phenomena in Chinese Stock Market (Shenzhen Stock Market) which means the market possesses of a kind of structure. By using up-down information of the price fluctuations, we have detected two critical points and three phases, where heterogeneous agents transit their trading behaviors. The first phase is affected by noise traders and fundamentalists; the second phase is controlled by fundamentalists; the third phase is controlled by noise traders.

关键词： chinese stock market analogous zipf analysis phase transitions, price fluctuations.

作者: ZHENG Feng ZHANG Rongtong ZHANG Tao HE Lingyun

作者单位: School of Economics and Management Beijing Jiaotong University Beijing 100044, China College of Economics & Management China Agricultural University Beijing 100091, China

会议类型: 国际会议

会议名称: 第二届国际计算机新科技与教育学术会议(Proceedings of the Second International Conference on Computer Science & Education ICCSE2007)

会议地点: 武汉

会议语种:英文

页码: 513-516

在线出版日期: 2007-07-25（万方平台首次上网日期，不代表论文的发表时间）