荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
A continuum percolation model for stock price fluctuation as a L,vy process
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- 所属单位:Tianjin University
- 发表刊物:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
- 刊物所在地:China
- 关键字:Compound Poisson process; continuum percolation; fat-tail phenomenon; Levy process
- 摘要:This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and continuum percolation model separately. Combining the two models, the authors get a L,vy process for the price fluctuation that can explain the fat-tail phenomenon in stock market. The fat-tails are also presented in numerical simulations.
- 合写作者:Wang Ning, Rong Ximin
- 第一作者:Wang Ning
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Wang Ning
- 论文编号:SCI: AZ6PR
- 卷号:28
- 期号:1
- 页面范围:175-189
- ISSN号:1009-6124
- 是否译文:否