Empirical study and model simulation of global stock market dynamics during COVID-19

被引：6

作者：

Jin, Lifu ^{[1
]}

Zheng, Bo ^{[1
,2
,3
]}

Ma, Jiahao

Zhang, Jiu ^{[1
]}

Xiong, Long ^{[2
]}

Jiang, Xiongfei ^{[4
]}

Li, Jiangcheng ^{[5
]}

机构：

[1] Zhejiang Univ, Sch Phys, Hangzhou 310027, Peoples R China

[2] Yunnan Univ, Sch Phys & Astron, Kunming 650091, Peoples R China

[3] Nanjing Univ, Collaborat Innovat Ctr Adv Microstruct, Nanjing 210093, Peoples R China

[4] Ningbo Univ Finance & Econ, Coll Finance & Informat, Ningbo 315175, Peoples R China

[5] Yunnan Univ Finance & Econ, Sch Finance, Kunming 650221, Peoples R China

来源：

CHAOS SOLITONS & FRACTALS | 2022年 / 159卷

基金：

中国国家自然科学基金;

关键词：

COVID-19; Financial dynamics; Complex systems; Heston model; REPRODUCTION NUMBER; VOLATILITY; CURRENCY;

D O I：

10.1016/j.chaos.2022.112138

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling.(c) 2022 Elsevier Ltd. All rights reserved.

引用

页数：7

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