Analysis of Stock Price and Volume Based on Heterogeneous Spin Model

DOI

10.2991/icmesd-18.2018.156How to use a DOI?

Keywords

Stock price, Trading volume, Financial physics, Spin model, On-off intermittency, Heterogeneous investor.

Abstract

This paper introduces the heterogeneous investors based on the spin model to study the statistical characteristics and relationships between A-B stock return and trading volume during the stock-disaster period. Divide investors into fundamental traders and noise traders to match trader behaviors in the market clearing mechanism. The research results show that the volume changing is in the power-law distribution and when the magnetization volume increases, the noise trader tends to reverse the strategy, causing the trading volume to change on-off intermittency, explaining the reasons for the highly volatile trading of the bull and bear market; Although there is a positive correlation between stock returns and trading volume changes, stock returns intermittent oscillations are not significantly affected by the noise of intrinsic value fluctuations; SSE B-share investors are more sensitive to surrounding investors' attitudes than Shanghai A-share investors, and herd effects are more obvious.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wen-Jie Liu
PY  - 2018/05
DA  - 2018/05
TI  - Analysis of Stock Price and Volume Based on Heterogeneous Spin Model
BT  - Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
PB  - Atlantis Press
SP  - 911
EP  - 916
SN  - 2352-5428
UR  - https://doi.org/10.2991/icmesd-18.2018.156
DO  - 10.2991/icmesd-18.2018.156
ID  - Liu2018/05
ER  -