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Progress in physical properties of Chinese stock markets |
Yuan Liang梁源1,2, Guang Yang杨光1, Ji-Ping Huang黄吉平1( ) |
| 1. Department of Physics and State Key Laboratory of Surface Physics, Fudan University, Shanghai 200433, China; 2. Department of Applied Physics, College of Science, Donghua University, Shanghai 201620, China |
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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.
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| Keywords
econophysics
Chinese stock market
statistical method
statistical physics
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Corresponding Author(s):
Ji-Ping Huang黄吉平,Email:jphuang@fudan.edu.cn
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Issue Date: 01 August 2013
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