Progress in physical properties of Chinese stock markets

Authored by Guang Yang, Yuan Liang, Ji-Ping Huang

Date Published: 2013-08

DOI: 10.1007/s11467-013-0366-0

Sponsors: Chinese National Natural Science Foundation

Platforms: No platforms listed

Model Documentation: Other Narrative

Model Code URLs: Model code not found

Abstract

In the past two decades, statistical physics was brought into the field of finance, applying new methods and concepts to financial time series and developing a new interdiscipline “econophysics”. In this review, we introduce several commonly used methods for stock time series in econophysics including distribution functions, correlation functions, detrended fluctuation analysis method, detrended moving average method, and multifractal analysis. Then based on these methods, we review some statistical properties of Chinese stock markets including scaling behavior, long-term correlations, cross-correlations, leverage effects, antileverage effects, and multifractality. Last, based on an agent-based model, we develop a new option pricing model - financial market model that shows a good agreement with the prices using real Shanghai Index data. This review is helpful for people to understand and research statistical physics of financial markets.

Tags

econophysics statistical physics statistical method Chinese stock market