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Financial Data Analysis In Econophysics:Statistics And Modeling

Posted on:2014-08-16Degree:DoctorType:Dissertation
Country:ChinaCandidate:J R WeiFull Text:PDF
GTID:1109330434974221Subject:Theoretical Physics
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In the field of econophysics, researchers are trying to search for the universal laws in economic and financial systems using statistical and modeling methods. In this thesis, based on the central theme of "financial data analysis in econophysics: statistics and modeling", I introduce several projects on financial data analysis which were completed during my graduate study. These studies are based on statistics methods and modeling tools, and try to uncover the statistical properties of financial data.Chapter1is the introduction of this thesis. First, I review the brief history of econophysics. Then, I briefly introduce the methodology of econophysics to show the research paradigm in the field of econophysics.In Chapter2, I introduce the common methods in econophysics, which can be categorized as statistical analysis on financial data or modeling of financial markets. As the old Chinese saying goes,"sharp tools make good work". These fundamental methods form the basis of further studies on financial data analysis.Chapter3is the most important part of this thesis. This chapter mainly discusses our research findings on statistical analysis and modeling of financial data. In the project of modeling the stock markets, we introduce the agents of momentum investors. This work may offer a hint on how to understand the momentum behavior on the basis of an agent-based modeling method. In the project of searching statistical patterns from stock price time series, we reveal an exotic bimodal distribution of price reversal intensities, which supports the existence of the long-term predictability in the stock price dynamics and provides insight into predicting long-term movement of stock prices. Employing comparative method, two of our projects work on giving statistical analysis of bankrupting and non-bankrupting stocks in the US stock market and statistical analysis of Chinese stock indices in bull and bear market phases. At last, this chapter introduces two interesting projects, in which we apply the analysis methods of econophysics into other research fields including the statistical analysis of classical music and the statistical analysis of search query volumes.Finally, Chapter4concludes my studies in the field of enconophysics and puts forward ideas and prospect for future work.
Keywords/Search Tags:econophysics, financial data, statistical analysis, agent-basedmodeling, momentum investor, stock price reversal, statistical pattern, comparativestudy, big data
PDF Full Text Request
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