TAILIEUCHUNG - Study of HaNoi and HoChiMinh stock exchange by econophysics methods

The results point out that for the period under consideration, the distribution of returns tends to be Student distribution. There exists an analogy between nonequilibrium phase transitions and financial market movement. Thus it is hypothesized that financial markets undergo self-organizing when the external volatility perception rises above some critical value, the distribution of signs of returns is to be similar to a second order phase transition. The results obtained by econophysics method have quite good agreement with the ones obtained by other economy analyzation methods. | Communications in Physics, Vol. 24, No. 3S2 (2014), pp. 151-156 DOI: STUDY OF HANOI AND HOCHIMINH STOCK EXCHANGE BY ECONOPHYSICS METHODS CHU THUY ANH, DAO HONG LIEN, NGUYEN TRI LAN AND NGUYEN AI VIET Institute of Physics, Vietnam Academy of Science and Technology E-mail: ctanh@ Received 20 June 2014 Accepted for publication 20 August 2014 Abstract. The econophysics methods are used to study the financial fluctuation of Hanoi Stock Exchange (HNX) and Hochiminh Stock Exchange (HSX) in comparison to Dow John Industrial Average’s one. The study has been made both on panic period (2007-2008) and on normal time of theses stocks. The results point out that for the period under consideration, the distribution of returns tends to be Student distribution. There exists an analogy between nonequilibrium phase transitions and financial market movement. Thus it is hypothesized that financial markets undergo self-organizing when the external volatility perception rises above some critical value, the distribution of signs of returns is to be similar to a second order phase transition. The results obtained by econophysics method have quite good agreement with the ones obtained by other economy analyzation methods. Keywords: econophysics, phase transition. I. INTRODUCTION Econophysics, the name itself somehow explains the concept. It was the first time in 1995, the merging of the words ”economics” and ”physics” was introduced at the conference Dynamics of Complex Systems, which was held in Kolkata as a satellite meeting to the STATPHYS-19 [1]. Since 1991 [2], the pioneering work in the modern stream of economical physics was initiated. It is an interdisciplinary research field applying methods of statistical physics to problems in economics and finance. Econophysics does not literally apply the laws of physics to humans, but uses physical methods to study statistical properties of complex economic systems consisting of a large number of

• Vật lý
• Communications in Physics
• Study of HaNoi and HoChiMinh stock exchange
• Stock exchange econophysics methods
• Hanoi Stock Exchange
• Hochiminh Stock Exchange
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