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Study On The Complexity Of Price Behavior In Chinese Stock Market

Posted on:2004-12-27Degree:DoctorType:Dissertation
Country:ChinaCandidate:W C LiuFull Text:PDF
GTID:1116360092480646Subject:Financial engineering and financial management
Abstract/Summary:PDF Full Text Request
It is well known that the price behavior is a piece of sill of modern finance theory. Under the supervision of system theory and complexity science, this paper presents the complexity of price behavior in Chinese Stock Market (CSM) using these methods such as statistic analysis, mathematic model, numerical value simulation, and so on. It is very meaningful to know price behavior further more in CSM and also very important to develop the derivative instruments market. Some results are given out as follows.1. A definition of complexity of price behavior is presented on the basis of the review of research about price behavior in CSM and complexity science.2. Some phenomena of price complexity are discovered in CSM, Which are the complicated structure of returns frequency distribution and its evolution; persistence and evolution of the market; stable cycles in long-term, and persistence and reversion in short-term, using these methods, such as statistical test, rescaled range analysis, Ljung-Box test, BDS test, V-statistic, spectral analysis, time-frequency analysis and so on. That is, the returns frequency distribution is neither normal nor similar. It is complicate and evolves with the trading institute. The market is persistent at whole, but the persistence has been becoming weaker and weaker. And the market has not only a long stable non-periodic cycle related to policies a little, but also has a short unstable cycle caused by policies, which causes persistence and reversion in short term.3. A new price model is developed and some simulation data are analyzed on the basis of the review other models. It is encouraged that some phenomena of price complexity can be explained with this model.4. The results of forecasting eight returns series with extrapolating ten steps using ARFIMA, Chaos dynamic and K-nearest models are disappointed.
Keywords/Search Tags:Chinese Stock Market, Price Behavior, Complexity, Persistence, Evolution, Cycles, Forecasting
PDF Full Text Request
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