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- Title
A STATISTICAL DYNAMIC APPROACH TO STRUCTURAL EVOLUTION OF COMPLEX CAPITAL MARKET SYSTEMS.
- Authors
SHAO, XIAO; CHAI, LI H.
- Abstract
As an important part of modern financial systems, capital market has played a crucial role on diverse social resource allocations and economical exchanges. Beyond traditional models and/or theories based on neoclassical economics, considering capital markets as typical complex open systems, this paper attempts to develop a new approach to overcome some shortcomings of the available researches. By defining the generalized entropy of capital market systems, a theoretical model and nonlinear dynamic equation on the operations of capital market are proposed from statistical dynamic perspectives. The US security market from 1995 to 2001 is then simulated and analyzed as a typical case. Some instructive results are discussed and summarized.
- Subjects
UNITED States; CAPITAL market; RESOURCE allocation; FINANCIAL markets; SIMULATION methods &; models; MATHEMATICAL models; ENTROPY (Information theory)
- Publication
International Journal of Modern Physics B: Condensed Matter Physics; Statistical Physics; Applied Physics, 2011, Vol 25, Issue 13, p1807
- ISSN
0217-9792
- Publication type
Article
- DOI
10.1142/S021797921110031X