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Quantum spatial-periodic harmonic model for daily price-limited stock markets

  • Xiangyi Meng
  • Jian-Wei Zhang
  • Jingjing Xu
  • Hong Guo
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    We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlation and intra-band negative correlation between the volatility and the trading volume of stocks are derived by considering the energy band structure of the model. The validity of price limitation is then examined and abnormal phenomena of a price-limited stock market (Shanghai Stock Exchange) of China are studied by applying our quantum model.

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    File URL: http://arxiv.org/pdf/1405.4490
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    Paper provided by arXiv.org in its series Papers with number 1405.4490.

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    Date of creation: May 2014
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    Handle: RePEc:arx:papers:1405.4490
    Contact details of provider: Web page: http://arxiv.org/

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    1. Chao Zhang & Lu Huang, 2010. "A quantum model for the stock market," Papers 1009.4843, arXiv.org, revised Oct 2010.
    2. Pouria Pedram, 2011. "The minimal length uncertainty and the quantum model for the stock market," Papers 1111.6859, arXiv.org, revised Jan 2012.
    3. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
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    7. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    8. Zhang, J.W. & Zhang, Y. & Kleinert, H., 2007. "Power tails of index distributions in chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 166-172.
    9. Schaden, Martin, 2002. "Quantum finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 511-538.
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    11. Yao, Juan & Ma, Chuanchan & He, William Peng, 2014. "Investor herding behaviour of Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 12-29.
    12. Cotfas, Liviu-Adrian, 2013. "A finite-dimensional quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380.
    13. Ying, Shangjun & Fan, Ying, 2014. "Complexity in the Chinese stock market and its relationships with monetary policy intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 338-345.
    14. Bagarello, F., 2009. "A quantum statistical approach to simplified stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4397-4406.
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    17. Baaquie, Belal E. & Tang, Pan, 2012. "Simulation of nonlinear interest rates in quantum finance: Libor Market Model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1287-1308.
    18. Fabio Bagarello, 2009. "A quantum statistical approach to simplified stock markets," Papers 0907.2531, arXiv.org.
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