| 利用连续渗流理论构造股市指标波动模型及其讨论 |
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| 引用本文： | 王宁,王军,董广华.利用连续渗流理论构造股市指标波动模型及其讨论[J].应用数学,2009,22(1). |
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| 作者姓名： | 王宁 王军 董广华 |
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| 作者单位： | 1. 天津财经大学信息科学与技术系,天津,300222
2. 北京交通大学数学系,北京,100044 |
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| 摘 要： | 本文引用连续渗流理论构造了股票市场指数波动模型,得到其特征函数收敛于Levy过程这一结论.并且在模型中也体现出了市场波动的"宽尾"现象.
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| 关 键 词： | 连续渗流 Levy过程 股票市场指数 "宽尾"现象 |
Construction of Stock Index Fluctuation Model by Continuum Percolation and It's Discussion |
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| WANG Ning,WANG Jun,DONG Guang-hua.Construction of Stock Index Fluctuation Model by Continuum Percolation and It's Discussion[J].Mathematica Applicata,2009,22(1). |
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| Authors: | WANG Ning WANG Jun DONG Guang-hua |
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| Abstract: | We introduce the continuum percolation theory to construct a stock market index fluctuation model,so that the characteristic function of this index converges to Levy process.Under this construction,the "fat-tail" phenomenon can be shown clearly too. |
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| Keywords: | Continuum percolation Levy process Stock market index Fat-tail phenomenon |
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