摘要翻译:
在一个基于简单的时间需求和供给函数的经济模型中,我们在质量随时间线性增加的弹簧运动和波动的股票市场动态之间建立了一个类比[J.Phys.A:Math.Gen.33,3637(2000)]。系统总能量E_t与随时间变化的弹簧常数K_t成正比。这个模型允许导出商品价格和库存水平上的振荡(盈余和短缺)的对数周期cos[log(t-t_{c})]。我们还尝试将这些结果与Tsallis统计参数q联系起来,基于可能的力-熵关联[Physica A341,165(2004)],发现Tsallis第二熵项\sum_{i=1}^{W}p_i^{q}/(q-1)与需求(或供给)函数的平方有关。
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英文标题:
《Stock Market and Motion of a Variable Mass Spring》
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作者:
Enrique Canessa
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Physics 物理学
二级分类:Exactly Solvable and Integrable Systems 精确可解可积系统
分类描述:Exactly solvable systems, integrable PDEs, integrable ODEs, Painleve analysis, integrable discrete maps, solvable lattice models, integrable quantum systems
精确可解系统,可积偏微分方程,可积偏微分方程,Painleve分析,可积离散映射,可解格模型,可积量子系统
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英文摘要:
We establish an analogy between the motion of spring whose mass increases linearly with time and volatile stock markets dynamics within an economic model based on simple temporal demand and supply functions [J. Phys. A: Math. Gen. 33, 3637 (2000)]. The total system energy E_t is shown to be proportional to a decreasing time dependent spring constant k_t. This model allows to derive log-periodicity cos[log (t-t_{c})] on commodity prices and oscillations (surplus and shortages) in the level of stocks. We also made an attempt to connect these results to the Tsallis statistics parameter q based on a possible force-entropy correlation [Physica A 341, 165 (2004)] and find that the Tsallis second entropic term \sum_{i=1}^{W} p_i^{q}/(q-1) relates to the square of the demand (or supply) function.
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PDF链接:
https://arxiv.org/pdf/0905.4450