Ising模型在金融市场价格构成中的应用  

The application of Ising model in financial market price

作　　者：栾玉国 贾泽正 李东海 付天宇 LUAN Yuguo;JIA Zezheng;LI Dong hai;FU Tianyu(College of Science;Faculty of Aerospace Engineering, Shenyang Aerospace University, Shenyang 110136, China)

机构地区：[1]沈阳航空航天大学理学院,沈阳110136 [2]沈阳航空航天大学航空航天工程学部(院),沈阳110136

出　　处：《沈阳航空航天大学学报》2018年第2期93-96,共4页Journal of Shenyang Aerospace University

基　　金：国家自然科学基金资助项目(项目编号:51101105;51402197);大学生创新创业计划项目(项目编号:DX512301)

摘　　要：主要利用Sznajd简化的伊辛模型,模拟中国证券市场单个股票的股价形成机制,并与实际个股的收益率及其统计性质进行比较。通过比较模拟收益率和实际收益率,发现Sznajd模型所给的价格形成机制和实际证券市场具有一致的统计性质,如都有相同的尖峰厚尾等普遍特征。通过与Sznajd模型模拟数据的比较,还发现个股正负收益率的统计性质存在明显的不对称性,表明投资人在正负收益率上的交易偏好存在差异。研究表明利用Sznajd模型对证券市场的研究具有重要的应用价值。In this paper, the formation mechanism of individual stock price in the securities market of China is simulated by applying the Sznajd simplified Ising model. The simulated results are also compared with both the return rate of the real stock and the statistical properties. The results show that the price formation mechanism in the Sznajd model presents the similar characteristics such as the excess kurtosis and heavy-tail etc., by comparing the statistical properties of the simulating data and the return rate of the real stock market. It is also found that the statistical nature of the positive and negative return rates of individual stocks is obvious asymmetry, which represents that the trading preferences of investors on positive and negative returns are various. The Sznajd model has important application value to the study of the financial market.

关 键 词：Sznajd模型 Ising动力学系统 尖峰厚尾 蒙特卡罗模拟 

分 类 号：O414.2[理学—理论物理] F830.9[理学—物理]