股票市场的高频数据分析和多体模型研究
发布时间：2021-07-13 18:54
研究股票市场的动力学行为是一热门的研究领域,吸引了来自各个不同领域的科学家的兴趣。股票市场是一个多体相互作用的复杂体系。该体系具有一些和物理学中的复杂体系相同的统计性质,例如长程关联,自相似性和普适性。我们运用统计物理里面的概念和方法,通过分析高频股票序列研究股票市场的微观结构以及构造多体模型模拟市场的动力学。这一新兴交叉领域被称作金融物理。第一章,我们首先回顾了金融物理的发展背景,其中包括一个简短的有关股票市场的历史回顾,金融物理的诞生以及金融物理对物理研究的贡献。接着我们介绍了目前有关金融市场研究的一些热门课题,例如对高频股票时间序列的经验分析和基于股民个体行为的多体模型研究。第二章,我们观测德国的DAX指数和中国股票市场的指数的日度数据和分钟数据的统计特性,主要测量价格波动率的分布,自关联函数,DFA函数,以及收益率和波动率的关联函数。通过对日度数据的波动率的分布,自关联函数和DFA函数的测量,我们发现由中国的股票指数测得的结果和德国的DAX指数测得的结果是定性一致的。但是对于分钟数据的分析表明,中国的股票指数的动力学行为不同于德国的DAX指数。我们通过分析日度数据和分钟数据的收...
【文章来源】：浙江大学浙江省 211工程院校 985工程院校 教育部直属院校
【文章页数】：106 页
【学位级别】：博士
【文章目录】：
Abstract
中文摘要
1 Introduction
1.1 Background
1.1.1 History of stock markets
1.1.2 Emergence of Econophysics:from Physics to Economics
1.1.3 Inverse contribution:from Economics to Physics
1.2 Empirical analysis
1.3 Multi-agent models
2 Dynamic properties of German DAX and Chinese indices
2.1 Data analysis and volatility distribution
2.2 Volatility autocorrelation function and detrended fluctuation analysis
2.3 Return-volatility correlation and a retarded volatility model
2.4 Summary
3 Persistence probabilities
3.1 Definition of persistence probabilities
3.2 Persistence probabilities of German DAX and Chinese indices
3.3 General persistence probabilities
3.4 Nonlocal description of return-volatility correlation
3.5 Summary
4 Minority games (MGs) with score-dependent and agent-dependent payoffs
4.1 Standard MG with score-dependent and agent-dependent payoffs
4.2 Grand canonical MG and persistence probability
4.3 Market efficiency and long-range volatility correlations
4.4 Thermal MG with score-dependent and agent-dependent payoffs
4.5 Summary
5 Herding models with feedback interactions
5.1 Herding model with volatility interaction
5.2 Two-phase phenomena and herding models
5.3 Modeling interaction with trading volume in financial dynamics
5.4 Summary
6 Conclusions
Bibliography
List of publications and manuscripts
Acknowledgements
本文编号：3282614
【文章来源】：浙江大学浙江省 211工程院校 985工程院校 教育部直属院校
【文章页数】：106 页
【学位级别】：博士
【文章目录】：
Abstract
中文摘要
1 Introduction
1.1 Background
1.1.1 History of stock markets
1.1.2 Emergence of Econophysics:from Physics to Economics
1.1.3 Inverse contribution:from Economics to Physics
1.2 Empirical analysis
1.3 Multi-agent models
2 Dynamic properties of German DAX and Chinese indices
2.1 Data analysis and volatility distribution
2.2 Volatility autocorrelation function and detrended fluctuation analysis
2.3 Return-volatility correlation and a retarded volatility model
2.4 Summary
3 Persistence probabilities
3.1 Definition of persistence probabilities
3.2 Persistence probabilities of German DAX and Chinese indices
3.3 General persistence probabilities
3.4 Nonlocal description of return-volatility correlation
3.5 Summary
4 Minority games (MGs) with score-dependent and agent-dependent payoffs
4.1 Standard MG with score-dependent and agent-dependent payoffs
4.2 Grand canonical MG and persistence probability
4.3 Market efficiency and long-range volatility correlations
4.4 Thermal MG with score-dependent and agent-dependent payoffs
4.5 Summary
5 Herding models with feedback interactions
5.1 Herding model with volatility interaction
5.2 Two-phase phenomena and herding models
5.3 Modeling interaction with trading volume in financial dynamics
5.4 Summary
6 Conclusions
Bibliography
List of publications and manuscripts
Acknowledgements
本文编号：3282614
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