Modeling and Simulation of Stock Prices by Contact Model and Statistical Analysis

A new stochastic stock price model of stock markets based on the contact process of the interacting particle systems is presented in this paper, where the contact model is a continuous time Markov process, one interpretation of this model is as a model for the spread of an infection. Through this model, the statistical properties of Shanghai stock exchange (SSE) composite index are studied. In the present paper, the data of SSE composite index and the simulation are analyzed, and we investigate the statistical properties, fat tails phenomena and the power-law distributions of returns for these indices. The techniques of Skewness-Kurtosis test, Kolmogorov-Smirnov test are applied to study the fluctuation character of the stock price return. The research provides a new way for studying stock market.