The Application Of Statistical System Theory On The Study Of Volatilities In The Stock Market

In this paper, we apply the Ising model which come from the interacting particle system to stock markets. We construct a new model to simulate the return process of stocks. The paper contains two parts:In part one, we analyze the atatistical properties of the price and the trading volume in the stock markets. Price and share volume play a very important role in the stock market and they are the two special factor in the risk management. We try to discuss the statistical properties of the waiting times and the conditional returns(price changes or trading volume changes above a fix point). In this paper, we also contrast the properties of Chinese stocks market with that of USA .We use the nominal distribution paper of statistics and the methord of statistical physics, such as the log-log plot and the power law distribution test. By using the software of Matlab6.5,SPSS12.0 and Eviews5.0, we get the fat-tail phenomena and partial character of the financial time series of Chinese stock market. In this paper we also study the statistical properties of the waiting times between two successive financial time series(price or trading volume) changes above a fixed point or above a fixed threshold in the stock market.In part two, we construct the return process by Ising model. From the conclusion of part one, we know that the traditonal nominal distribution hypothesis of return in the stock market is not right. The study of the interacting particle system including Ising model is from 1970s. Ising model is mainly used to dealing with how a system react for the information and the result after reaction. It (?) used in Statistic Physics initially, but it is widely used in other fields now. We try to apply the Ising model to dealing with the infection of information to stock price. We mainly talk about how to forecast the stock price through the reaction of the information to the return process.We find that the statistic properties of Ising model is very resemble to that of return series of Chinese stocks market from the computer simulation, and the result of simulation by Ising model is much better than normal distribution.