| A Continuum Percolation Model for Stock Price Fluctuation as a Lévy Process |
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| 作者姓名： | WANG Ning RONG Ximin DONG Guanghua |
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| 作者单位： | College of Management and Economics,Tianjin University;Department of Science and Technology of Information,Tianjin University of Finance and Economics;School of Science,Tianjin University;Center for Applied Mathematics of Tianjin University;Department of Mathematics,Tianjin Polytechnic University |
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| 基金项目： | supported by the Natural Science Foundation of Tianjin,China under Grant No.09JCYBLJC01800;the China Postdoctoral Science Foundation Funded Project under Grant No.20110491248 |
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| 摘 要： | 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 are also presented in numerical simulations.
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| 关 键 词： | Compound Poisson process continuum percolation fat-tail phenomenon Levy process |
A Continuum Percolation Model for Stock Price Fluctuation as a Lévy Process |
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| WANG Ning,RONG Ximin,DONG Guanghua.A Continuum Percolation Model for Stock Price Fluctuation as a Lévy Process[J].Journal of Systems Science and Complexity,2015(1):175-189. |
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| Authors: | WANG Ning;RONG Ximin;DONG Guanghua;College of Management and Economics Tianjin University; |
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| Institution: | Department of Science and Technology of Information,Tianjin University of Finance and Economics;School of Science,Tianjin University;Center for Applied Mathematics of Tianjin University;Department of Mathematics,Tianjin Polytechnic University; |
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| Abstract: | 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 are also presented in numerical simulations. |
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