北京交通大学学报2012，Vol.36Issue(3)：138-144,7.
基于选举模型理论研究股市特性
Features analysis of stock markets based on Voter model theory
摘要
Abstract
A random stock price model for simulation of stock prices and returns on the basis of Voter Model theory, which is one of the interacting particle systems, is constructed in this paper. The influences on statistical behaviors and power law distribution that three significant parameters in the Voter Model which are intensity, initial density and lattice dimension have been discussed and studied. Using different methods like autocorrelation coefficient analysis, classic R/S analysis and modified R/S analysis, the long-range dependence for SSECI, HSI, and simulative returns sequences for price model are investigated respectively to justify the effectiveness of the price model. Meanwhile, the significant Hurst exponent is given and its significance is tested while memory periods for three time series above are computed.关键词
股票价格/选举模型/价格公式/模拟/统计特性/长程依赖性Key words
stock price/Voter model/ price formula/ simulation/ statistical properties/ long-range dependence分类
数理科学引用本文复制引用
牛红丽,王军..基于选举模型理论研究股市特性[J].北京交通大学学报,2012,36(3):138-144,7.基金项目
国家自然科学基金资助项目(70771006,10971010) （70771006,10971010）
