A continuum percolation model for stock price fluctuation as a Lévy process

被引：0
作者：
Ning Wang
Ximin Rong
Guanghua Dong
机构：
[1] Tianjin University,College of Management and Economics
[2] Tianjin University of Finance and Economics,Department of Science and Technology of Information
[3] Tianjin University,School of Science
[4] Center for Applied Mathematics of Tianjin University,Department of Mathematics
[5] Tianjin Polytechnic University,undefined
来源：
Journal of Systems Science and Complexity | 2015年 / 28卷
关键词：
Compound Poisson process; continuum percolation; fat-tail phenomenon; Lévy process;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and continuum percolation model separately. Combining the two models, the authors get a Lévy process for the price fluctuation that can explain the fat-tail phenomenon in stock market. The fat-tails are also presented in numerical simulations.
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收藏
页码：175 / 189
页数：14
相关论文
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