A continuum percolation model for stock price fluctuation as a L,vy process

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Affiliation of Author(s):Tianjin University

Journal:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY

Place of Publication:China

Key Words:Compound Poisson process; continuum percolation; fat-tail phenomenon; Levy process

Abstract: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.

All the Authors:Wang Ning, Rong Ximin

First Author:Wang Ning

Indexed by:Unit Twenty Basic Research

Correspondence Author:Wang Ning

Document Code:SCI: AZ6PR

Volume:28

Issue:1

Page Number:175-189

ISSN No.:1009-6124

Translation or Not:no