This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and co...This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and continuum percolation model separately. Combining the two models, the authors get a Levy process for the price fluctuation that can explain the fat-tail phenomenon in stock market. The fat-tails axe also presented in numerical simulations.展开更多
基金supported by the Natural Science Foundation of Tianjin,China under Grant No.09JCYBLJC01800the China Postdoctoral Science Foundation Funded Project under Grant No.20110491248
文摘This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and continuum percolation model separately. Combining the two models, the authors get a Levy process for the price fluctuation that can explain the fat-tail phenomenon in stock market. The fat-tails axe also presented in numerical simulations.
