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    題名: Study of Asian indexes by a newly derived dynamic model
    作者: 蔡尚岳
    Tsai, Shang-Yueh
    Chiang-Lin, Tsung-Jui;Lee, Yong-Shiuan;Shieh, Tzong-Hann;Yen, Chien-Chang
    貢獻者: 應物所
    日期: 2022-05
    上傳時間: 2023-02-06 14:12:24 (UTC+8)
    摘要: We take the stock prices as a dynamic system and characterize its movements by a newly derived dynamic model, called the new Price Reversion Model (nPRM), for which the solution is derived and carefully analyzed under different circumstances. We also develop a procedure of applying the nPRM to real daily closing prices of a stock index. This proposed procedure brings a different perspective to the study of stock prices based on thermodynamics, and the time varying coefficients in the nPRM offer economic meanings of the stock movements. More specifically, the average of smoothed historical data A in the nPRM, analogous to the environment temperature in the Newton’s law of cooling, represent an implied equilibrium price. The heat transfer coefficient κ is adapted to be either negative or positive, which illustrates the speed of convergence or divergence of stock prices, respectively. The empirical study of ten Asian stock indexes shows that the nPRM accurately characterizes and forecasts the market values.
    關聯: Plos One, Vol.17, No.5, e0266600
    資料類型: article
    DOI 連結: https://doi.org/10.1371/journal.pone.0266600
    DOI: doi: 10.1371/journal.pone.0266600
    顯示於類別:[應用物理研究所 ] 期刊論文

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