Zipf Analysis of Shanghai Stock Market Price Behavior

摘要：

This paper presents a Zipf analysis of SSE(Shanghai Stock Exchange) Composite Index for the period of 1992 to 2006. With the help of the analysis, it is easy to understand the formation of stock price by analysis the characters of stock price behaviors. By using up-down information of the price fluctuations, we have observed two critical points and three phases, where the different type agents transit their trading behaviors. The first phase is controlled by noise traders; the rest of phases are controlled by fundamentalists.

关键词： SSE Composite Index Zipf law prices behavior

作者: Feng Zheng Runtong Zhang

作者单位: School of Economics and Management Beijing Jiaotong University,P.R.China,100044

会议类型: 国际会议

会议名称: 2006 International Conference on Management Science and Engineering(2006管理科学与工程国际学术研讨会)

会议地点: 武汉

会议语种:英文

页码: 674-678

在线出版日期: 2006-11-08（万方平台首次上网日期，不代表论文的发表时间）