A mini-review on econophysics:Comparative study of Chinese and western financial markets

作     者：郑波 蒋雄飞 倪鹏云 

作者机构：Department of PhysicsZhejiang University College of Information EngineeringNingbo Dahongying University 

出 版 物：《Chinese Physics B》 (中国物理B（英文版）)

年 卷 期：2014年第23卷第7期

页      面：154-163页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 0809[工学-电子科学与技术（可授工学、理学学位）] 08[工学] 020202[经济学-区域经济学] 0805[工学-材料科学与工程（可授工学、理学学位）] 0704[理学-天文学] 

基　　金：supported by the National Natural Science Foundation of China(Grant Nos.11375149,11075137,and J1210046) the Natural Science Foundationof Zhejiang Province of China(Grant No.Z6090130) 

主　　题：complex systems econophysics 

摘      要：We present a review of our recent research in econophysics, and focus on the comparative study of Chinese and western financial markets. By virtue of concepts and methods in statistical physics, we investigate the time correlations and spatial structure of financial markets based on empirical high-frequency data. We discover that the Chinese stock market shares common basic properties with the western stock markets, such as the fat-tail probability distribution of price returns, the long-range auto-correlation of volatifities, and the persistence probability of volatilities, while it exhibits very different higher-order time correlations of price returns and volatilities, spatial correlations of individual stock prices, and large-fluctuation dynamic behaviors. Furthermore, multi-agent-based models are developed to simulate the microscopic interaction and dynamic evolution of the stock markets.