Quantum spatial-periodic harmonic model for daily price-limited stock markets

TL;DR

This paper introduces a quantum spatial-periodic harmonic model to analyze daily price-limited stock markets, capturing complex volatility-volume relations and explaining abnormal market phenomena.

Contribution

It presents a novel quantum model that incorporates energy band structures to explain stock behavior under price limits, a new approach in financial market analysis.

Findings

Model explains positive correlation between volatility and trading volume across energy bands.

Model accounts for negative intra-band correlation between volatility and volume.

Application to Chinese stock market reveals insights into abnormal market phenomena.

Abstract

We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlation and intra-band negative correlation between the volatility and the trading volume of stocks are derived by considering the energy band structure of the model. The validity of price limitation is then examined and abnormal phenomena of a price-limited stock market (Shanghai Stock Exchange) of China are studied by applying our quantum model.