应用接触过程构造股票价格模型

Study and Construction of Stock Market Price Using Contact Process

引入接触过程的理论,并由此构造股票价格模型,在此基础上构造了一个停时序列,通过对此停时序列及接触过程上临界状态与下临界状态,来研究股票价格的波动性质,推导出股票价格的特征函数收敛于levy过程相应的特征函数,从而说明了股票价格分布函数的收敛性质.最后用实际数据模拟,证明此模型的合理性.

In this paper, a stock price model is constructed by applying contact process theory. By using a stopping time, we discuss the fluctuations of stock price at the supper-critical state and sub-critical state. At last, we prove that the characteristic function of the stock price convergences to the corresponding characteristic function of the levy process.