Title :
Stable distribution and its application in Chinese stock market
Author :
Peng, Zhangyan ; Si, Fengshan ; Wang, Jing ; Wang, Yuling
Author_Institution :
Sch. of Sci., Wuhan Inst. of Technol., Wuhan, China
Abstract :
Stable software is used to make the empirical research for return rate in Shanghai and Shenzhen stock market in this paper. The results show that stock returns distribution has an obvious peak and fat tail fractal characteristics. The traditional normal distribution has been very difficult to describe the phenomenon, but stable distribution is able to deal with this kind of problem.
Keywords :
normal distribution; stock markets; Chinese stock market; normal distribution; stable distribution; stock returns; Educational institutions; Fractals; Gaussian distribution; Indexes; Investments; Stock markets; stable distribution; stock returns; thick tail;
Conference_Titel :
Natural Computation (ICNC), 2012 Eighth International Conference on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4577-2130-4
DOI :
10.1109/ICNC.2012.6234687
