政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118884

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51630207 Online Users : 550

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 理學院 > 應用物理研究所 > 期刊論文 > Item 140.119/118884

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118884

Title:	Toward a scenario with complementary stochastic and deterministic information in financial fluctuations
Authors:	Chen, Cyun-Wei 馬文忠 Ma, Wen-Jong
Contributors:	應用物理研究所
Keywords:	Econophysics;Financial markets;Brownian motion
Date:	2018-06
Issue Date:	2018-07-24 17:30:59 (UTC+8)
Abstract:	We present the results of our analysis of time series for a collection of 345 stocks listed in S&P 500, to show that integrated information on collective fluctuations in financial data can be revealed quantitatively on two aspects, focusing on either the stochastic or the deterministic content of the data. The latter is obtained by relating the fluctuations in high frequency data of one-day moving averages (HF1MA) for the prices of individual stocks analogously to the displacements for Brownian motion for the tracer particles. It has been shown in a previous study of data for each month over the years 1996–1999 [11], that the kinetic parameters carry effectively the market-specific information. In an attempt to extend such a many-particle scenario, we pay attention in this study to the stock-stock cross correlations and decompose the fluctuations into the Karhunan–Love expansions, to find the general features of the collective modes in their time-wise as well as the stock-wise components, comparing the results for the time series of original prices and those of HF1MA. We found robust patterns of time-wise correlations in the eigenmodes, which may be analyzed further to find market-specific information.
Relation:	Chinese Journal of Physics, Volume 56, Issue 3, Pages 853-862
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.cjph.2018.03.020
DOI:	10.1016/j.cjph.2018.03.020
Appears in Collections:	[應用物理研究所 ] 期刊論文

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	808	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...