利用连续渗流理论构造股市指标波动模型及其讨论(英文)  

Construction of Stock Index Fluctuation Model by Continuum Percolation and It's Discussion

作　　者：王宁[1,2] 王军 董广华[1,2] 

机构地区：[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

出　　处：《应用数学》2009年第1期65-71,共7页Mathematica Applicata

基　　金：Supported in part by the Science Research and Developing Foundation of Tianjin University of Finance and Economics(Q0611)

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.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.

关 键 词：连续渗流 LEVY过程 股票市场指数 “宽尾”现象 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]