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

doi:10.1088/1674-1056/23/7/078903

中国物理B ›› 2014, Vol. 23 ›› Issue (7): 78903-078903.doi: 10.1088/1674-1056/23/7/078903

所属专题： TOPICAL REVIEW — Statistical Physics and Complex Systems

• TOPICAL REVIEW—Statistical Physics and Complex Systems • 上一篇下一篇

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

郑波^a, 蒋雄飞^{a b}, 倪鹏云^a

a Department of Physics, Zhejiang University, Hangzhou 310027, China;
b College of Information Engineering, Ningbo Dahongying University, Ningbo 315175, China

收稿日期:2014-03-14 修回日期:2014-04-17 出版日期:2014-07-15 发布日期:2014-07-15
基金资助:
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).

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

Received:2014-03-14 Revised:2014-04-17 Online:2014-07-15 Published:2014-07-15
Contact: Zheng Bo E-mail:zheng@zimp.zju.edu.cn
About author:89.75.-k; 89.65.Gh
Supported by:
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).

摘要/Abstract

摘要： 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.

关键词: complex systems, econophysics

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.

Key words: complex systems, econophysics

中图分类号: (Complex systems)

89.75.-k

89.65.Gh (Economics; econophysics, financial markets, business and management)

郑波, 蒋雄飞, 倪鹏云. A mini-review on econophysics：Comparative study of Chinese and western financial markets[J]. 中国物理B, 2014, 23(7): 78903-078903.

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[J]. Chin. Phys. B, 2014, 23(7): 78903-078903.

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

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

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