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Progress in physical properties of Chinese stock markets

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An Erratum to this article was published on 15 November 2013

Abstract

In the past two decades, statistical physics was brought into the field of finance, applying new methods and concepts to financial time series and developing a new interdiscipline “econophysics”. In this review, we introduce several commonly used methods for stock time series in econophysics including distribution functions, correlation functions, detrended fluctuation analysis method, detrended moving average method, and multifractal analysis. Then based on these methods, we review some statistical properties of Chinese stock markets including scaling behavior, long-term correlations, cross-correlations, leverage effects, antileverage effects, and multifractality. Last, based on an agent-based model, we develop a new option pricing model — financial market model that shows a good agreement with the prices using real Shanghai Index data. This review is helpful for people to understand and research statistical physics of financial markets.

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Authors and Affiliations

  1. Department of Physics and State Key Laboratory of Surface Physics, Fudan University, Shanghai, 200433, China

    Yuan Liang  (梁源), Guang Yang  (杨光) & Ji-Ping Huang  (黄吉平)

  2. Department of Applied Physics, College of Science, Donghua University, Shanghai, 201620, China

    Yuan Liang  (梁源)

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  1. Yuan Liang  (梁源)
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  2. Guang Yang  (杨光)
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  3. Ji-Ping Huang  (黄吉平)
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Correspondence to Ji-Ping Huang  (黄吉平).

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Liang, Y., Yang, G. & Huang, JP. Progress in physical properties of Chinese stock markets. Front. Phys. 8, 438–450 (2013). https://doi.org/10.1007/s11467-013-0366-0

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