Plenary Lecture

Simulation and Statistical Analysis of Financial Dynamical Systems by Statistical Physics Systems

Professor Jun Wang
School of Science
Beijing Jiaotong University
P. R. China
E-mail: wangjun@bjtu.edu.cn

Abstract: Behaviors of stock price changes in financial markets have long been a focus of economic research for a more clear understanding of mechanism and characteristics of financial markets. In the empirical research of financial markets, some statistical properties for the market fluctuations are uncovered by the high frequency financial time series, such as fat tails distribution of price changes, the power-law of logarithmic return and volume, volatility clustering which is described as on-off intermittency in literature of nonlinear dynamics, and multifractality of volatility, etc. For modeling, any model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price. Recently, applying statistical physics systems to study statistical behaviors of fluctuations of financial market dynamics is a subject that has attracted more and more attentions of researchers, in an attempt to reproduce and explain this set of empirical facts. In the present work, the statistical physics systems are employed to explore the behaviors of price changes in the financial markets. Economic systems such as financial markets are similar to physical systems in that they are comprised of a large number of interacting “agents”. Most research approaches to finance view financial markets as complex evolving system, since these economic agents interact in complicated ways. Through the comparative analysis of statistical properties of logarithmic returns for the real market and the price model, the empirical research shows that the proposed financial model in the present work is rational for the real stock market to a certain extent.

Brief Biography of the Speaker: Professor and Dr. Jun Wang is a Full Professor at School of Science in Beijing Jiaotong University, P.R. China. He is also the Director of Institute of Financial Mathematics and Financial Engineering. He received his B.Sc. degree in Mathematics from Beijing Normal University, and received his Ph.D. degree in Probability and Statistics from Kobe University of Japan, and continued his research work in Kobe University as a researcher supported by Japan Society for the Promotion of Science. Professor Wang has wide research interests, which include: Large Scale Interacting Systems, Stochastic Systems, Dynamical Systems, Statistical Physics Systems, Non-linear Systems, Stochastic Control, Artificial Intelligence, Neural Networks, Modeling and Computer Simulation, Probability Theory and Statistics, Financial Mathematics, Financial Engineering, and Financial Statistics.

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