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Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 52-284
Full Name: Jun Wang
Position: Professor
Age: ON
Sex: Male
Address: Department of Mathematics, Beijing Jiaotong University, Beijing 100044
Country: CHINA
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E-mail address: wangjun@bjtu.edu.cn
Other E-mails: jun6211wang@yahoo.com.cn
Title of the Paper: Analysis of Chain Reaction Between Two Stock Indices Fluctuations by Statistical Physics Systems
Authors as they appear in the Paper: Jiguang Shao, Jun Wang
Email addresses of all the authors: wangjun@bjtu.edu.cn, jun6211wang@yahoo.com.cn
Number of paper pages: 10
Abstract: In this paper, we consider the statistical properties of chain reaction of stock indices. The theory of interacting systems and statistical physics are applied to describe and study the fluctuations of two stock indices in a stock market, and the properties of the interacting reaction of the two indices are investigated in the present paper. In this work, stochastic analysis and the two random paths model are used to study the probability distribution for the chain reaction of stock indices, further we show the asymptotical behavior of probability measures of the fluctuations for the two stock indices model. In the last part, we discuss the convergence of the finite dimensional probability distributions for the financial model.
Keywords: Stock Index, Chain Reaction, Statistical Analysis, Fluctuation, Statistical Physics, Gibbs Probability Measure
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