Self-organized Criticality Of Stock Market? Analysis Based On Sand-pile Model

The study on capital market is always based on efficient market theory,but it cannot explain “sharp peak and heavy tail” and other abnormal phenomena of stock market.This paper based on Fractal Market Hypothesis is trying to abmend this deficiency about EMH.To amend the efficiency of efficient market theory,we use self-organized criticality and sand-pile model to analyze Chinese stock market and establish model of stock market volatility.By analyzing data of stock market in advances as well as declines respectively,our study shows that the distributions of price fluctuation and its lifetime are power-law distributions.It proves the fractal characteristic of stock market.And it indicates the long term memory of stock prices.Due to the risk aversion of investors,the probability of collapse of shares is higher than it of a sharp rise of shares.