摘要翻译:
金融市场中的两相行为实际上是指条件概率由单峰分布向双峰分布转变的分叉现象。本文对恒生指数中的分叉现象进行了细致的考察。观察到财务指标中的分叉现象不是普遍存在的,而是在一定条件下的特异现象。当绝对增量分布的幂律指数在1~2之间,适当的周期时,这种现象才出现。对随机生成的时间序列的模拟表明,分叉现象本身服从绝对增量的统计,因而不能反映本质的金融行为。但即使在绝对增量相同的分布下,分叉现象发生的范围从真实市场到人为数据也相差甚远,可能反映了一定的市场信息。
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英文标题:
《Note on two phase phenomena in financial markets》
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作者:
Shi-Mei Jiang, Shi-Min Cai, Tao Zhou, and Pei-Ling Zhou
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Physics 物理学
二级分类:Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
The two phase behavior in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. In this paper, the bifurcation phenomenon in Hang-Seng index is carefully investigated. It is observed that the bifurcation phenomenon in financial index is not universal, but specific under certain conditions. The phenomenon just emerges when the power-law exponent of absolute increment distribution is between 1 and 2 with appropriate period. Simulations on a randomly generated time series suggest the bifurcation phenomenon itself is subject to the statistics of absolute increment, thus it may not be able to reflect the essential financial behaviors. However, even under the same distribution of absolute increment, the range where bifurcation phenomenon occurs is far different from real market to artificial data, which may reflect certain market information.
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PDF链接:
https://arxiv.org/pdf/0801.0108