کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
974827 | 1480135 | 2015 | 7 صفحه PDF | دانلود رایگان |
• The price of a price-limited stock is presumed oscillating and damping in a spatial-periodic harmonic oscillator potential well.
• There is negative non-linear relation between the volatility and trading volume of a stock.
• Price limit will abnormally increase volatility if within a certain regime of trading volume.
We investigate the behaviors of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is considered to be oscillating and damping in a quantum spatial-periodic harmonic oscillator potential well. A complicated non-linear relation including inter-band positive correlation and intra-band negative correlation between the volatility and trading volume of a stock is numerically derived with the energy band structure of the model concerned. The effectiveness of price limit is re-examined, with some observed characteristics of price-limited stock markets in China studied by applying our quantum model.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 438, 15 November 2015, Pages 154–160