金融市场中幂律分布的经验和理论研究进展——经济物理学研究的一个前沿

Recent progress on power-law distributions in financial market fluctuations

对金融市场波动性的研究是经济物理 (econophysics)的一个重要内容 .物理学家们借鉴物理学研究方法对金融市场中的主要变量进行的经验研究 ,揭示了金融资产价格涨落及相关变量概率分布尾部的幂律渐近行为 .这一性质明显有悖于传统金融学中的正态分布和试图取代它的列维分布 ,引起人们广泛的兴趣 .文章集中介绍了关于金融资产收益率分布尾部幂律性质经验研究的主要方法和结果 。

The study of financial fluctuations is an important area of econophysics. Based on empirical research on the dominating variables of financial markets through the use of various physical methods, physicists have opened the door to understanding the power-law asymptotic behaviour of the price fluctuations of financial assets and the tails of the probability distributions of the variables involved. This has aroused broad interest as the power-law behaviour is quite different from the normal distribution and the suggested Lvy distribution used in conventional finance. In this paper some main empirical research methods and results of the power-law distributions of financial asset returns, together with relevant theoretical explanations, are reviewed.