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Based on the theory of Chinese Tsallis Distribution of Stock Market Returns

Author: ZhangLei
Tutor: GouXiaoJu
School: University of Science and Technology of China
Course: Financial Engineering
Keywords: Nonextensive statistical mechanics Return Distribution Anomalous diffusion Stock market
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 74
Quote: 1
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Abstract


Applications made ​​NONEXTENSIVE Tsallis statistical mechanics and closely related nonlinear Fokker-Planck equation describes the power system , according to China's Shanghai Composite Index and Shenzhen index 1 January 2004 -2008 in November 13 's frequency data were analyzed in three different time scale under the probability distribution of stock returns and found Tsallis distribution can be well described by the two cities gain fat tail distribution of finite variance and other characteristics, but also gives the power of market microstructure school -level explanations. Reveals our Shanghai and Shenzhen stock price process does not comply with the random walk , but the anomalous diffusion process , the two cities have very close nonlinear dynamic system characteristics . The conclusions for the study of China's financial markets and pricing of asset allocation , risk management and system construction has important significance. In this paper, Tsallis theory to Chinese stock markets in Shanghai and Shenzhen empirical research , there are several innovations: First, for the first time nonextensive statistical mechanics theory to the study of Chinese stock markets , explore the formation mechanism of the stock price changes and dynamics learning mechanism ; Second, the stock market as a complex system, using Tsallis distribution yield on the stock market distribution model , and use high-frequency data from the Shanghai and Shenzhen stock index validation ; Third, for model parameter estimation, taking first obtain the actual gain probability distribution , and then fitting method to improve the estimation accuracy , avoiding the complicated calculations ; Fourth, based on the parameter estimates obtained yield distribution model , from the perspective of high-frequency trading , the rational design of high- frequency trading strategies and risk management strategies , and applied to the stock market and stock index futures market .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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