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題名 Toward a scenario with complementary stochastic and deterministic information in financial fluctuations
作者 Chen, Cyun-Wei
馬文忠
Ma, Wen-Jong
貢獻者 應用物理研究所
關鍵詞 Econophysics; Financial markets; Brownian motion
日期 2018-06
上傳時間 24-七月-2018 17:30:59 (UTC+8)
摘要 We present the results of our analysis of time series for a collection of 345 stocks listed in S&P 500, to show that integrated information on collective fluctuations in financial data can be revealed quantitatively on two aspects, focusing on either the stochastic or the deterministic content of the data. The latter is obtained by relating the fluctuations in high frequency data of one-day moving averages (HF1MA) for the prices of individual stocks analogously to the displacements for Brownian motion for the tracer particles. It has been shown in a previous study of data for each month over the years 1996–1999 [11], that the kinetic parameters carry effectively the market-specific information. In an attempt to extend such a many-particle scenario, we pay attention in this study to the stock-stock cross correlations and decompose the fluctuations into the Karhunan–Love expansions, to find the general features of the collective modes in their time-wise as well as the stock-wise components, comparing the results for the time series of original prices and those of HF1MA. We found robust patterns of time-wise correlations in the eigenmodes, which may be analyzed further to find market-specific information.
關聯 Chinese Journal of Physics, Volume 56, Issue 3, Pages 853-862
資料類型 article
DOI https://doi.org/10.1016/j.cjph.2018.03.020
dc.contributor 應用物理研究所
dc.creator (作者) Chen, Cyun-Weien_US
dc.creator (作者) 馬文忠zh_TW
dc.creator (作者) Ma, Wen-Jongen_US
dc.date (日期) 2018-06
dc.date.accessioned 24-七月-2018 17:30:59 (UTC+8)-
dc.date.available 24-七月-2018 17:30:59 (UTC+8)-
dc.date.issued (上傳時間) 24-七月-2018 17:30:59 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118884-
dc.description.abstract (摘要) We present the results of our analysis of time series for a collection of 345 stocks listed in S&P 500, to show that integrated information on collective fluctuations in financial data can be revealed quantitatively on two aspects, focusing on either the stochastic or the deterministic content of the data. The latter is obtained by relating the fluctuations in high frequency data of one-day moving averages (HF1MA) for the prices of individual stocks analogously to the displacements for Brownian motion for the tracer particles. It has been shown in a previous study of data for each month over the years 1996–1999 [11], that the kinetic parameters carry effectively the market-specific information. In an attempt to extend such a many-particle scenario, we pay attention in this study to the stock-stock cross correlations and decompose the fluctuations into the Karhunan–Love expansions, to find the general features of the collective modes in their time-wise as well as the stock-wise components, comparing the results for the time series of original prices and those of HF1MA. We found robust patterns of time-wise correlations in the eigenmodes, which may be analyzed further to find market-specific information.en_US
dc.format.extent 135 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Chinese Journal of Physics, Volume 56, Issue 3, Pages 853-862
dc.subject (關鍵詞) Econophysics; Financial markets; Brownian motionen_US
dc.title (題名) Toward a scenario with complementary stochastic and deterministic information in financial fluctuationsen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.cjph.2018.03.020
dc.doi.uri (DOI) https://doi.org/10.1016/j.cjph.2018.03.020