TITLE:
Research on State Transition Model Based on Stock Market Volume-Price Distribution
AUTHORS:
Yin Tang, Muxing Lin
KEYWORDS:
Time Series, State Transition, Volume-Price Distribution
JOURNAL NAME:
Open Journal of Business and Management,
Vol.6 No.2,
April
25,
2018
ABSTRACT: This paper discusses Volume-Price distribution of stock market. The normal
distribution-like structures spanning different time are studied, based on
which we propose a predictive model of Volume-Price distribution in China
stock market. The paper includes three parts: First, the hypothesis that the
Chinese stock market day trading volume-price distributions does not obey
normal distribution is verified. However, a “fat tail” approximate normal distribution
pattern is founded. After smoothing the distribution of volume and
price, approximate normal distributions of trading volume and price distributions
for different time spans are discovered. On the basis of two previous
studies, state transition model of volume-price distributions is proposed. State
transition probability table is created based on clustering analysis. The mode
can appropriately account for the transition Chinese stock market trading volume-
price distribution network transitions between states, and can be used to
predict possible future distribution, to provide a quantitative indicator in the
stock market investment.