Correlation analysis of price fluctuation of stock market by stochastic interacting system
YANG Ge
WANG Di
WANG Jun
Abstract：A stochastic financial price model for simulation of stock prices and returns on the basis of contact process theory,which is one of the stochastic interacting systems is introduced in this paper.We study the correlation behaviors of the simulation return series from the proposed mod-el,comparing the simulation results with the actual data including Shanghai Stock Exchange Composite Index(SSE)and Shenzhen Stock Exchange Component Index(SZSE).In the cross-correlation analysis,the cross-correlation between different intensity and initial density is analyzed and compared with the actual data from SSE and SZSE.It is found that they are cross correlated.Besides,in the autocorrelation analysis,the common autocorrelation function,q-order autocorrelation function and multi-autocorrelation function are applied to study the single return series from simulation and real financial market,respectively.From the three results can be seen both the simulation data and actual data have volatility clustering.
Keywords：financial statisticsprice modelsimulationcross-correlationautocorrelation
Publication Date：2017-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：7( 120-126 )