¹Department of Mathematics, Beijing Jiaotong University, Beijing 100044, China

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Abstract—In this paper, the data of Chinese stock markets is analyzed by the statistical methods and computer sciences. The fluctuations of stock prices and trade volumes are investigated by the method of Zipf plot, where Zipf plot technique is frequently used in physics science. In the first part of the present paper, the data of stocks prices and trade volumes in Shanghai Stock Exchange and Shenzhen Stock Exchange is analyzed, the statistical behaviors of stocks prices and trade volumes are studied. We select the daily data for Chinese stock markets during the years 2002-2006, by analyzing the data, we discuss the statistical properties of fat tails phenomena and the power law distributions for the daily stocks prices and trade volumes. In the second part, we consider the fat ails phenomena and the power law distributions of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index during the years 2002-2007, and we also compare the distributions of these two indices with the corresponding distributions of the Zipf plot.

Index Terms—data analysis, statistical methods, Zipf method, statistical properties, computer simulation, market fluctuation

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Cite: Jun Wang, Bingli Fan, Dongping Men, "Data Analysis and Statistical Behaviors of Stock Market Fluctuations," Journal of Computers vol. 3, no. 10, pp. 44-49, 2008.