Title :
The Statistical Analysis of Stock Prices and Trading Volumes for the Chinese Stock Markets
Author :
Men, Dongping ; Wang, Jun ; Shao, Jiguang
Author_Institution :
Inst. of Financial Math. & Financial Eng., Beijing Jiaotong Univ., Beijing
Abstract :
In this paper, the fluctuations of stock prices and trade volumes are investigated by the method of Zipf plot, where Zipf plot technique is frequently used in physics science. In the first part of the present paper, the data of stocks prices and trade volumes in Shanghai Stock Exchange and Shenzhen Stock Exchange is analyzed, the statistical properties of stocks prices and trade volumes are studied. We select the daily data for Chinese stock market during the years 2002-2006, by analyzing the data, we discuss the statistical properties of fat tails phenomena and the power law distributions for the daily stocks prices and trade volumes. In the second part, we consider the fat ails phenomena and the power law distributions of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index during the years 2001-2006 by Zipf plot method.
Keywords :
pricing; statistical analysis; stock markets; Chinese stock markets; Shanghai Stock Exchange; Shenzhen Stock Exchange; Zipf plot technique; power law distributions; statistical analysis; stock prices; trading volumes; Communication system control; Distribution functions; Engineering management; Financial management; Fluctuations; Frequency; Mathematics; Probability distribution; Statistical analysis; Stock markets; Zipf plot; statistical analysis; stock market; stock price; trading volume;
Conference_Titel :
Computing, Communication, Control, and Management, 2008. CCCM '08. ISECS International Colloquium on
Conference_Location :
Guangzhou
Print_ISBN :
978-0-7695-3290-5
DOI :
10.1109/CCCM.2008.200
