应用波动源模型研究股票价格波动

Application of Fluctuating Sources Model on Stock Price Volatility

经济物理学尝试用物理学的方法和思想分析经济或金融问题,为观察经济和金融问题带来了不同的视角。我国股票市场是全球波动性最大的市场之一,因此对我国股票市场波动性的研究显得尤为重要。本文从说明股票波动性的内在规律和特征入手,通过物理学中的波动源模型,模拟现实股票市场的价格波动并进行股票价格预测。首先,本文将总结比较描述现实股票市场的价格波动现象的三种模型—随机游走模型,对数正态分布模型,波动源模型。然后,本文讨论了由粒子布朗运动理论发展成对数正态模型,后经过修正提出波动源模型的过程,以及波动源模型中各未知参量的含义和取值,并且对各个参量对股票价格的不同作用也进行了讨论。最后,通过对不同上市企业的股票价格实证研究,发现运用波动源模型来模拟股票价格时,吻合度比较高,误差较小。并且研究发模型在描述周收盘价时,比日收盘价更有效。因此,波动源模型是具有研究意义的。除了对股票价格进行模拟外,文中还分析了波动源模型在其他方面的应用,指导投资者进行投资。

Economic physics attempts to analyze the economic or financial problems with the methods and ideas of physics,which brings the observation of economic and financial issues a different perspective. China's stock market is one of the world's largest market volatility,and the research on China's stock market volatility is particularly important.In this paper physics,we use the fluctuations source model to simulate the real stock market price volatility. First,this paper will summarize three models which described price volatility of the stock marketRandom Walk Model,Lognormal Model and Fluctuating Sources Model. Then,the paper discusses the development of Fluctuating Sources Model after the amendments and the meaning,value and role of each unknown parameters in model. Finally,through empirical research on the different stock prices of listed companies,we find the source model to simulate the use of volatile stock prices,consistent with a relatively high degree,and the error is small. And found that the model in describing the week's closing price,is more effective than the day closing price. Therefore,it is meaningful to study Fluctuating Sources Model. In addition to simulating the stock price,the paper also analyzes the application of other aspects,guiding investors to invest.