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股票市场中的金融价格动态与相变

Financial price dynamics and phase transitions in the stock markets.

作者信息

Zhang Ditian, Zhuang Yangyang, Tang Pan, Peng Hongjuan, Han Qingying

机构信息

School of Economics and Management, Southeast University, Nanjing, Jiangsu 211189 China.

出版信息

Eur Phys J B. 2023;96(3):35. doi: 10.1140/epjb/s10051-023-00501-6. Epub 2023 Mar 22.

DOI:10.1140/epjb/s10051-023-00501-6
PMID:36974335
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC10032273/
Abstract

ABSTRACT

Price dynamics in stock market is modelled by a statistical physics systems: Ising model. A comparative analysis of the historical dynamics of stock returns between the US, UK, and French markets is given. Since the Ising model requires binary inputs, the effect of binarization is studied. Then, using the TAP approximation method, external fields and coupling strengths are calculated. The fluctuation cycles of coupling strengths have a remarkable corresponding relationship with the important period of the financial market. The highlight of this paper is to verify the phase transition can also occur in the stock market and it reveals the transformation of the market state. The numerical solution in this paper is consistent with the exact solution obtained by Lars Onsager. Our findings can help to discover the economic cycles and provide more possibilities for studying financial markets using physical models.

摘要

摘要

股票市场中的价格动态由统计物理系统——伊辛模型建模。对美国、英国和法国市场之间股票回报的历史动态进行了比较分析。由于伊辛模型需要二元输入，因此研究了二值化的影响。然后，使用TAP近似方法计算外部场和耦合强度。耦合强度的波动周期与金融市场的重要时期有着显著的对应关系。本文的亮点在于验证了股票市场中也会发生相变，并揭示了市场状态的转变。本文的数值解与拉尔斯·昂萨格得到的精确解一致。我们的研究结果有助于发现经济周期，并为使用物理模型研究金融市场提供更多可能性。

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