Zipf analysis of Shanghai stock market price behavior

被引：0

作者：

Zheng, Feng ^{[1
]}

Zhang, Runtong ^{[1
]}

机构：

[1] Beijing Jiaotong Univ, Sch Econ & Management, Beijing 100044, Peoples R China

来源：

PROCEEDINGS OF THE 2006 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING | 2006年

关键词：

SSE composite index; Zipf law; prices behavior;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper presents a Zipf analysis of SSE(Shanghai Stock Exchange) Composite Index for the period of 1992 to 2006. With the help of the analysis, it is easy to understand the formation of stock price by analysis the characters of stock price behaviors. By using up-down information of the price fluctuations, we have observed two critical points and three phases, where the different type agents transit their trading behaviors. The first phase is controlled by noise traders; the rest of phases are controlled by fundamentalists.

引用

页码：674 / 678

页数：5

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