Analysis and modelling of stock market relative fluctuation by percolation system

作者：Wang Yiduan; Qin Yao; Niu Hongli; Wang Jun^*

来源：Journal of Information and Computational Science, 2012, 9(3): 771-779.

• Detrended fluctuation analysis
• Disordered medium
• Empirical research
• Financial models
• Long range correlations
• Percolation systems
• Percolation theory
• Relative fluctuation trend
• Statistical properties
• Stock indices
• Stock market
• Trend tests
• Two-dimensional lattices

In this paper, a financial stock process is modelled by the two-dimensional lattice bond percolation model. Percolation theory, as a model for a disordered medium, has brought new understanding and techniques to a broad range of topics in nature and society. First we introduce the theory of trend test to investigate the statistical properties of fluctuations of Chinese stock indexes, and analyze the relationship between the fluctuations of two different indexes. Then we investigate the long range correlations of the returns for the actual index and the corresponding simulative data by applying the detrended fluctuation analysis. Moreover, the empirical research of the relative fluctuation trends for the real stock market and the financial model is made by comparison.

• 出版日期2012
• 单位北京交通大学