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Chin. Phys. B, 2014, Vol. 23(7): 078903    DOI: 10.1088/1674-1056/23/7/078903
Special Issue: TOPICAL REVIEW — Statistical Physics and Complex Systems
TOPICAL REVIEW—Statistical Physics and Complex Systems Prev   Next  

A mini-review on econophysics:Comparative study of Chinese and western financial markets

Zheng Bo (郑波)a, Jiang Xiong-Fei (蒋雄飞)a b, Ni Peng-Yun (倪鹏云)a
a Department of Physics, Zhejiang University, Hangzhou 310027, China;
b College of Information Engineering, Ningbo Dahongying University, Ningbo 315175, China
Abstract  We present a review of our recent research in econophysics, and focus on the comparative study of Chinese and western financial markets. By virtue of concepts and methods in statistical physics, we investigate the time correlations and spatial structure of financial markets based on empirical high-frequency data. We discover that the Chinese stock market shares common basic properties with the western stock markets, such as the fat-tail probability distribution of price returns, the long-range auto-correlation of volatilities, and the persistence probability of volatilities, while it exhibits very different higher-order time correlations of price returns and volatilities, spatial correlations of individual stock prices, and large-fluctuation dynamic behaviors. Furthermore, multi-agent-based models are developed to simulate the microscopic interaction and dynamic evolution of the stock markets.
Keywords:  complex systems      econophysics  
Received:  14 March 2014      Revised:  17 April 2014      Accepted manuscript online: 
PACS:  89.75.-k (Complex systems)  
  89.65.Gh (Economics; econophysics, financial markets, business and management)  
Fund: Project supported by the National Natural Science Foundation of China (Grant Nos. 11375149, 11075137, and J1210046) and the Natural Science Foundation of Zhejiang Province of China (Grant No. Z6090130).
Corresponding Authors:  Zheng Bo     E-mail:  zheng@zimp.zju.edu.cn
About author:  89.75.-k; 89.65.Gh

Cite this article: 

Zheng Bo (郑波), Jiang Xiong-Fei (蒋雄飞), Ni Peng-Yun (倪鹏云) A mini-review on econophysics:Comparative study of Chinese and western financial markets 2014 Chin. Phys. B 23 078903

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