中国沪深股市的自组织临界性——基于沙堆模型的分析

利用沙堆模型,探讨了中国沪深股市的内在动力学机制,对沪深两市上涨和下跌过程中股价波动量和波动持续时间进行了统计分析。结果显示:股价波动量和波动持续时间的分布服从幂次定律,具有时空尺度下的无标度性,从而证明了股市存在分形结构。分形结构的存在表明,各股市投资者之间具有长程相关性,股价具有长期记忆性。由于投资者的风险偏好不同,因此股市的上涨与下跌性质具有差异性,损失的耗散速度比收益要快。

Self-organized Criticality of China's Stock Market:Analysis Based on Sand-pile Model

This paper uses the sand-pile model to analyze the intrinsic dynamics mechanism of Chinese stock market.By analyzing the quantity and duration of stock price fluctuation in rise and decline periods of Shenzhen and Shanghai stock markets,it finds that the distribution of stock price fluctuation obeys the power-law.It proves that the fractal characteristic of stock market exists,which indicates the long term memory of stock prices.Due to the risk aversion of investors,the probability of collapse of shares is higher than that of a sharp rise of shares.