Random walk model and underlying structure - a primitive study of collections of US stocks over 1996-1999

• Main Authors: Huang, Yu Feng, 黃鈺峰
• Other Authors: Wen Jong Ma
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/q8gqw8

碩士 === 國立政治大學 === 應用物理研究所 === 101 === By means of calculating the correlation matrix of the price of stock and using the results of random matrix theorems，we learned that the stock market does not match the prediction of stochastic processes and the stock-stock is correlated。However，stock’s price log-return changes under long time scale will appear random walk model. Therefore，we propose two kinds of the different coupled random walk model，that try to explain the correlation between the stock markets can be integrated into the coupled random walk model，and using the mean square log-return( MSLR) to investigate this issue。 Finally，to understand the relationship of correlation matrix and by using it to know the characteristics of the underlying structure of the stock market，we use the correlation matrix of the price to construct the minimum spanning tree for analysis。The results showed that when the time scale is greater, the graphics are more intensive，and the center is almost the same company，"GE"， indicating that the stock market has a certain judgment index。